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关于Brown随机指数一致可积性条件的推广

The generalization of criteria for the uniform integrability of Brownian stochastic exponentials
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摘要 利用Brown运动的下函数,推广了随机指数一致可积性的判定条件,进而改进了Novikov条件和Kazamaki条件. In this paper, we apply lower function of Brownian motion to generalize criteria for the uniform integrability of Brownian stochastic exponentials, and improve the Novikov condition and Kazamaki condition.
作者 李军
机构地区 西北师范大学数学与统计学院
出处 《纯粹数学与应用数学》 CSCD 2012年第6期839-844,共6页 Pure and Applied Mathematics
基金 国家自然科学基金(11061032)
关键词 随机指数 指数鞅的一致可积性 Brown运动的下函数 Novikov条件 Kazamaki条件 stochastic exponentials, the uniform integrability of exponential martingales,lower functions of Brownian motion, Novikov condition, Kazamaki condition
分类号 O211.6 [理学—概率论与数理统计]
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参考文献12

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纯粹数学与应用数学
2012年 第6期

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