A canonical setting and separating times for continuous local martingales

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.

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Year of publication:	2009
Authors:	Engelbert, H.-J. ; Urusov, M.A. ; Walther, M.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 4, p. 1039-1054
Publisher:	Elsevier
Keywords:	Continuous local martingales Brownian motion Dambis-Dubins-Schwarz theorem Canonical setting Pure continuous local martingales Absolute continuity and singularity Separating times

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874424