Stochastic exponentials and logarithms on stochastic intervals: a survey
Larsson, M. & Ruf, J.
(2018).
Stochastic exponentials and logarithms on stochastic intervals: a survey.
Journal of Mathematical Analysis and Applications,
1-14.
https://doi.org/10.1016/j.jmaa.2018.11.040
(2018).
Stochastic exponentials and logarithms on stochastic intervals: a survey.
Journal of Mathematical Analysis and Applications,
1-14.
https://doi.org/10.1016/j.jmaa.2018.11.040
Stochastic exponentials are defined for semimartingales on stochastic intervals, and stochastic logarithms are defined for semimartingales, up to the first time the semimartingale hits zero continuously. In the case of (nonnegative) local supermartingales, these two stochastic transformations are inverse to each other. The reciprocal of a stochastic exponential on a stochastic interval is again a stochastic exponential on a stochastic interval.