Timeline for Example of Girsanov change of density with finite relative entropy, but with infinite integral over squared changed drift
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
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| Oct 14, 2013 at 22:42 | vote | accept | Joris Bierkens | ||
| Oct 14, 2013 at 22:42 | history | edited | Joris Bierkens | CC BY-SA 3.0 |
deleted 23 characters in body
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| Oct 14, 2013 at 22:41 | answer | added | Joris Bierkens | timeline score: 2 | |
| Oct 8, 2013 at 8:45 | comment | added | The Bridge | @ Joris Bierkens : Maybe you should look at strict local martinagles that can be expressed as stochastic exponential. You might be able to find example where their entropies are finite and such that they are not $\theta$-square integrables. You might be interested in this direction by paper "On the martingale property of certain local martingales" by Mijatovic et al (and the reference therein). Best regards. | |
| Oct 7, 2013 at 20:48 | history | edited | Joris Bierkens | CC BY-SA 3.0 |
corrected a typo
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| Oct 7, 2013 at 19:47 | history | asked | Joris Bierkens | CC BY-SA 3.0 |