D. Kh. Kazanchyan, V. M. Kruglov, “Uniform integrability of exponential processes”, Lobachevskii Journal of Mathematics, 2019, Volume 40, Number 10, Pages 1498

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Lobachevskii Journal of Mathematics, 2019, Volume 40, Number 10, Pages 1498–1506
DOI: https://doi.org/10.1134/S1995080219100159 (Mi ljm188)

This article is cited in 1 scientific paper (total in 1 paper)

Uniform integrability of exponential processes

D. Kh. Kazanchyan, V. M. Kruglov

Department of Statistics, Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, Russia

Full-text PDF Citations (1)

DOI: https://doi.org/10.1134/S1995080219100159

Abstract: A new criterion for uniform integrability of exponential stochastic processes is proved. It is also shown how some known results with difficult original proofs easily follow from the criterion.

Keywords: uniform integrability, exponential processes, martingales, stopping times.

Received: 28.05.2019
Revised version: 06.06.2019

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Document Type: Article

Language: English

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https://www.mathnet.ru/eng/ljm188

This publication is cited in the following 1 articles:

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