D. Kh. Kazanchyan, V. M. Kruglov, “Uniform integrability of exponential processes”, Lobachevskii J. Math., 2019, том 40, номер 10,страницы 1498

Эта публикация цитируется в 1 статье

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

Аннотация: 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.

Ключевые слова: uniform integrability, exponential processes, martingales, stopping times.

Поступило: 28.05.2019
Исправленный вариант: 06.06.2019

Язык публикации: английский

DOI: 10.1134/S1995080219100159