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Teor. Veroyatnost. i Primenen., 2013, Volume 58, Issue 1, Pages 53–80 (Mi tvp4494)  

This article is cited in 13 scientific papers (total in 14 papers)

When a stochastic exponential is a true martingale. Extension of the Beneš method

F. Klebanera, R. Liptserb

a Monash University
b Tel Aviv University, Department of Electrical Engineering-Systems

Keywords: exponential martingale; diffusion process with jumps; Girsanov theorem; Beneš method.

DOI: https://doi.org/10.4213/tvp4494

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English version:
Theory of Probability and its Applications, 2014, 58:1, 38–62

Bibliographic databases:

MSC: 60G44
Received: 16.03.2012

Citation: F. Klebaner, R. Liptser, “When a stochastic exponential is a true martingale. Extension of the Beneš method”, Teor. Veroyatnost. i Primenen., 58:1 (2013), 53–80; Theory Probab. Appl., 58:1 (2014), 38–62

Citation in format AMSBIB
\by F.~Klebaner, R.~Liptser
\paper When a stochastic exponential is a true martingale. Extension of the Bene\v{s} method
\jour Teor. Veroyatnost. i Primenen.
\yr 2013
\vol 58
\issue 1
\pages 53--80
\jour Theory Probab. Appl.
\yr 2014
\vol 58
\issue 1
\pages 38--62

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    This publication is cited in the following articles:
    1. K. Hamza, F. C. Klebaner, O. Mah, “Volatility in options formulae for general stochastic dynamics”, Discrete Contin. Dyn. Syst. Ser. B, 19:2 (2014), 435–446  crossref  mathscinet  zmath  isi
    2. F. E. Benth, S. Ortiz-Latorre, “A pricing measure to explain the risk premium in power markets”, SIAM J. Financial Math., 5:1 (2014), 685–728  crossref  mathscinet  zmath  isi
    3. A. Sokol, N. R. Hansen, “Exponential martingales and changes of measure for counting processes”, Stoch. Anal. Appl., 33:5 (2015), 823–843  crossref  mathscinet  zmath  isi  elib
    4. F. Biagini, S. Nedelcu, “The formation of financial bubbles in defaultable markets”, SIAM J. Financial Math., 6:1 (2015), 530–558  crossref  mathscinet  zmath  isi
    5. G. Andruszkiewicz, M. H. A. Davis, S. Lleo, “Risk-sensitive investment in a finite-factor model”, Stochastics, 89:1 (2017), 89–114  crossref  mathscinet  zmath  isi  scopus
    6. A. Papanicolaou, “Extreme-strike comparisons and structural bounds for SPX and VIX options”, SIAM J. Financial Math., 9:2 (2018), 401–434  crossref  mathscinet  isi
    7. A. Gulisashvili, “Large deviation principle for Volterra type fractional stochastic volatility models”, SIAM J. Financ. Math., 9:3 (2018), 1102–1136  crossref  mathscinet  zmath  isi  scopus
    8. D. Criens, K. Glau, “Absolute continuity of semimartingales”, Electron. J. Probab., 23 (2018), 125, 28 pp.  crossref  mathscinet  zmath  isi
    9. Menoukeu-Pamen O., Tangpi L., “Strong Solutions of Some One-Dimensional Sdes With Random and Unbounded Drifts”, SIAM J. Math. Anal., 51:5 (2019), 4105–4141  crossref  mathscinet  zmath  isi
    10. V. M. Abramov, B. M. Miller, E. Ya. Rubinovich, P. Yu. Chiganskii, “Razvitie teorii stokhasticheskogo upravleniya i filtratsii v rabotakh R. Sh. Liptsera”, Avtomat. i telemekh., 2020, no. 3, 3–13  mathnet  crossref
    11. A. Yu. Veretennikov, “On weak solutions of highly degenerate SDEs”, Autom. Remote Control, 81:3 (2020), 398–410  mathnet  crossref  crossref  isi  elib
    12. D. Kh. Kazanchyan, V. M. Kruglov, “Uslovie ravnomernoi integriruemosti eksponentsialnykh martingalov”, Vestnik TvGU. Seriya: Prikladnaya matematika, 2020, no. 3, 5–13  mathnet  crossref  elib
    13. Dandapani A., Protter Ph., “Strict Local Martingales Via Filtration Enlargement”, Int. J. Theor. Appl. Financ., 23:1 (2020), 2050001  crossref  mathscinet  zmath  isi
    14. Benth F.E., Khedher A., Vanmaele M., “Pricing of Commodity Derivatives on Processes With Memory”, Risks, 8:1 (2020), 8  crossref  isi
  • Теория вероятностей и ее применения Theory of Probability and its Applications
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