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A canonical setting and separating times for continuous local martingales

Author

Listed:
  • Engelbert, H.-J.
  • Urusov, M.A.
  • Walther, M.

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.

Suggested Citation

  • Engelbert, H.-J. & Urusov, M.A. & Walther, M., 2009. "A canonical setting and separating times for continuous local martingales," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1039-1054, April.
    • Handle: RePEc:eee:spapps:v:119:y:2009:i:4:p:1039-1054
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