Brownian Super-exponents

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dc.creatorGoodman, Victor
dc.date2006-12-06
dc.date.accessioned2026-07-07T07:34:42Z
dc.date.available2026-07-07T07:34:42Z
dc.descriptionWe introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a supermartingale even in cases where the original process is a martingale. We determine a necessary and sufficient condition for the transform to be a martingale process. The condition links expected values of the transformed stochastic exponential to the distribution function of certain time-integrals.
dc.description10 pages
dc.identifierhttps://arxiv.org/abs/math/0612160
dc.identifierhttp://arxiv.org/abs/math/0612160
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/119858
dc.subjectProbability
dc.subject60H30; 60J65
dc.titleBrownian Super-exponents
dc.typetext

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