| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156041 | Stochastic Processes and their Applications | 2009 | 16 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
H.-J. Engelbert, M.A. Urusov, M. Walther,