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The Resource Continuous exponential martingales and BMO, Norihiko Kazamaki

Continuous exponential martingales and BMO, Norihiko Kazamaki

Label
Continuous exponential martingales and BMO
Title
Continuous exponential martingales and BMO
Statement of responsibility
Norihiko Kazamaki
Creator
Subject
Language
eng
Summary
In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute continuity of probability laws of stochastic processes. The second and principal aim is to provide a full report on the exciting results on BMO in the theory of exponential martingales. The reader is assumed to be familiar with the general theory of continuous martingales
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1940-
http://library.link/vocab/creatorName
Kazamaki, Norihiko
Index
index present
Literary form
non fiction
Nature of contents
bibliography
Series statement
Lecture notes in mathematics
Series volume
1579
http://library.link/vocab/subjectName
Martingales (Mathematics)
Label
Continuous exponential martingales and BMO, Norihiko Kazamaki
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages [85]-90) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
1. Exponential Martingales. 1.1. Preliminaries. 1.2. The L[rho]-integrability of [epsilon](M). 1.3. Girsanov's formula. 1.4. Uniform integrability of [epsilon](M) -- 2. BMO-Martingales. 2.1. The class BMO. 2.2. The John-Nirenberg inequality. 2.3. Characterizations of a BMO-martingale. 2.4. Fefferman's inequality. 2.5. The Garnett-Jones theorem. 2.6. The class [Eta infinite] -- 3. Exponential of BMO. 3.1. The reverse Holder inequality. 3.2. Gehring's inequality. 3.3. Transformation of BMO by a change of law. 3.4. A characterization of the BMO-closure of L[infinite]. 3.5. The class [Eta infinite] and the [Alpha subscript rho] condition. 3.6. Weighted norm inequalities. 3.7. Some ratio inequalities
Control code
30359570
Dimensions
24 cm
Extent
vi, 90 pages
Isbn
9780387580425
Isbn Type
(New York : acid-free)
Lccn
94016026
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
System control number
(WaOLN)1604081
Label
Continuous exponential martingales and BMO, Norihiko Kazamaki
Publication
Bibliography note
Includes bibliographical references (pages [85]-90) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
1. Exponential Martingales. 1.1. Preliminaries. 1.2. The L[rho]-integrability of [epsilon](M). 1.3. Girsanov's formula. 1.4. Uniform integrability of [epsilon](M) -- 2. BMO-Martingales. 2.1. The class BMO. 2.2. The John-Nirenberg inequality. 2.3. Characterizations of a BMO-martingale. 2.4. Fefferman's inequality. 2.5. The Garnett-Jones theorem. 2.6. The class [Eta infinite] -- 3. Exponential of BMO. 3.1. The reverse Holder inequality. 3.2. Gehring's inequality. 3.3. Transformation of BMO by a change of law. 3.4. A characterization of the BMO-closure of L[infinite]. 3.5. The class [Eta infinite] and the [Alpha subscript rho] condition. 3.6. Weighted norm inequalities. 3.7. Some ratio inequalities
Control code
30359570
Dimensions
24 cm
Extent
vi, 90 pages
Isbn
9780387580425
Isbn Type
(New York : acid-free)
Lccn
94016026
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
System control number
(WaOLN)1604081

Library Locations

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