A canonical setting and separating times for continuous local martingales

H.-J. Engelbert, M.A. Urusov and M. Walther

Stochastic Processes and their Applications, 2009, vol. 119, issue 4, 1039-1054

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.

Keywords: Continuous; local; martingales; Brownian; motion; Dambis-Dubins-Schwarz; theorem; Canonical; setting; Pure; continuous; local; martingales; Absolute; continuity; and; singularity; Separating; times (search for similar items in EconPapers)
Date: 2009
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