Exponential Martingales and Changes of Measure for Counting Processes

Alexander Sokol; Niels Richard Hansen

doi:10.1080/07362994.2015.1040890

Exponential Martingales and Changes of Measure for Counting Processes

Institut for Matematiske Fag

9 Citationer (Scopus)

Originalsprog	Engelsk
Tidsskrift	Stochastic Analysis and Applications
Vol/bind	33
Udgave nummer	5
Sider (fra-til)	823-843
ISSN	0736-2994
DOI	https://doi.org/10.1080/07362994.2015.1040890
Status	Udgivet - 3 sep. 2015

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10.1080/07362994.2015.1040890

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title = "Exponential Martingales and Changes of Measure for Counting Processes",

keywords = "Counting process, Exponential martingale, Girsanov, Intensity, Uniform integrability",

author = "Alexander Sokol and Hansen, {Niels Richard}",

year = "2015",

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doi = "10.1080/07362994.2015.1040890",

language = "English",

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TY - JOUR

T1 - Exponential Martingales and Changes of Measure for Counting Processes

AU - Sokol, Alexander

AU - Hansen, Niels Richard

PY - 2015/9/3

Y1 - 2015/9/3

KW - Counting process

KW - Exponential martingale

KW - Girsanov

KW - Intensity

KW - Uniform integrability

U2 - 10.1080/07362994.2015.1040890

DO - 10.1080/07362994.2015.1040890

M3 - Journal article

SN - 0736-2994

VL - 33

SP - 823

EP - 843

JO - Stochastic Analysis and Applications

JF - Stochastic Analysis and Applications

IS - 5

ER -

Exponential Martingales and Changes of Measure for Counting Processes

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