This article is cited in 1 paper

Uniform integrability of exponential processes

D. Kh. Kazanchyan, V. M. Kruglov

Department of Statistics, Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, Russia

Abstract: A new criterion for uniform integrability of exponential stochastic processes is proved. It is also shown how some known results with difficult original proofs easily follow from the criterion.

Keywords: uniform integrability, exponential processes, martingales, stopping times.

Received: 28.05.2019
Revised version: 06.06.2019

Language: English

DOI: 10.1134/S1995080219100159

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