Change of probability measure

🏗 A placeholder for notes on a.e. continuous monotonic changes of measure in order to render a process “simple” in some sense. Something something Martingale something blah blah stochastic calculus.

Applebaum, David. 2009. Lévy Processes and Stochastic Calculus. 2nd ed. Cambridge Studies in Advanced Mathematics 116. Cambridge ; New York: Cambridge University Press.

Barndorff-Nielsen, Ole E, and Albert Shiryaev. 2010. Change of Time and Change of Measure. Vol. 13. Advanced Series on Statistical Science & Applied Probability. WORLD SCIENTIFIC. https://doi.org/10.1142/7928.

Borovkov, Konstantin, and Zaeem Burq. 2001. “Kendall’s Identity for the First Crossing Time Revisited.” Electronic Communications in Probability 6: 91–94. https://doi.org/10.1214/ECP.v6-1038.

Burgess, Nicholas. 2014. “Martingale Measures & Change of Measure Explained.” SSRN Scholarly Paper ID 2961006. Rochester, NY: Social Science Research Network. https://papers.ssrn.com/abstract=2961006.

Ranneby, Bo. 1984. “The Maximum Spacing Method. An Estimation Method Related to the Maximum Likelihood Method.” Scandinavian Journal of Statistics 11 (2): 93–112. http://www.jstor.org/stable/4615946.

Ranneby, Bo, S. Rao Jammalamadaka, and Alex Teterukovskiy. 2005. “The Maximum Spacing Estimation for Multivariate Observations.” Journal of Statistical Planning and Inference, IISA 2002 DeKalb Conference, 129 (1–2): 427–46. https://doi.org/10.1016/j.jspi.2004.06.059.

Surace, Simone Carlo, and Jean-Pascal Pfister. 2016. “Online Maximum Likelihood Estimation of the Parameters of Partially Observed Diffusion Processes.” In.

Wong, T. S. T., and W. K. Li. 2006. “A Note on the Estimation of Extreme Value Distributions Using Maximum Product of Spacings.” In Institute of Mathematical Statistics Lecture Notes - Monograph Series, 272–83. Beachwood, Ohio, USA: Institute of Mathematical Statistics. http://projecteuclid.org/euclid.lnms/1196285981.