When a stochastic exponential is a true martingale. Extension of the Bene ̌s method. Klebaner, F. & Liptser, R. Theory Probab. Appl., 58(1):38–62, 2014.
Paper doi bibtex @article{MR3267283,
Author = {Klebaner, F. and Liptser, R.},
Date-Added = {2017-10-09 19:04:36 +0000},
Date-Modified = {2017-10-09 19:04:36 +0000},
Doi = {10.1137/S0040585X97986382},
Fjournal = {Theory of Probability and its Applications},
Issn = {0040-585X},
Journal = {Theory Probab. Appl.},
Mrclass = {60G44 (60J25 60J75)},
Mrnumber = {3267283},
Number = {1},
Pages = {38--62},
Title = {When a stochastic exponential is a true martingale. {E}xtension of the {B}ene\v s method},
Url = {http://dx.doi.org/10.1137/S0040585X97986382},
Volume = {58},
Year = {2014},
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