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

Bernard Wong

Statistics & Probability Letters, 2009, vol. 79, issue 7, 880-883

Abstract: 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.

Date: 2009
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