Explicit construction of stochastic exponentials with arbitrary expectation k[set membership, variant](0,1)
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.
Year of publication: |
2009
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Authors: | Wong, Bernard |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 7, p. 880-883
|
Publisher: |
Elsevier |
Saved in:
Online Resource
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