A canonical setting and separating times for continuous local martingales

作者：Engelbert H J^*; Urusov M A; Walther M

来源：Stochastic Processes and Their Applications, 2009, 119(4): 1039-1054.

DOI：10.1016/j.spa.2008.05.003

• Continuous local martingales
• Brownian motion
• Dambis-Dubins-Schwarz theorem
• Canonical setting
• Pure continuous local martingales
• Absolute continuity and singularity
• Separating times

The notion of a separating tune 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.

• 出版日期2009-4
• 单位河北医科大学