Abstract
Martingale characterization of Brownian motion; random time-change of martingales; isotropic local martingales; integral representations of martingales; iterated and multiple integrals; change of measure and Girsanov’s theorem; Cameron-Martin theorem; Wald’s identity and Novikov’s condition
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© 1997 Applied Probability Trust
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(1997). Continuous Martingales and Brownian Motion. In: Foundations of Modern Probability. Probability and its Applications. Springer, New York, NY. https://doi.org/10.1007/0-387-22704-0_16
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DOI: https://doi.org/10.1007/0-387-22704-0_16
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-94957-4
Online ISBN: 978-0-387-22704-7
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