Explicit construction of stochastic exponentials with arbitrary expectation k[set membership, variant](0,1)

We provide a simple and explicit construction of a family of stochastic exponentials with expectation k[set membership, variant](0,1). Our family of stochastic exponentials can be constructed to be either strictly positive or merely non-negative.

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Year of publication:	2009
Authors:	Wong, Bernard
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 7, p. 880-883
Publisher:	Elsevier

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005223810