Title of article :
A canonical setting and separating times for continuous local martingales
Author/Authors :
Engelbert، نويسنده , , H.-J. and Urusov، نويسنده , , M.A. and Walther، نويسنده , , M.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Abstract :
The notion of a separating time for a pair of measures on a filtered space is helpful for studying problems of (local) absolute continuity and singularity of measures. In this paper, we describe a certain canonical setting for continuous local martingales (abbreviated below as CLMs) and find an explicit form of separating times for CLMs in this setting.
Keywords :
Continuous local martingales , Brownian motion , Dambis–Dubins–Schwarz theorem , Canonical setting , Separating times , Absolute continuity and singularity , Pure continuous local martingales
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
