Uniform integrability of continuous exponential martingales

Diffusion Processes and their Sample Paths.

G. F. Newell, Kanae Ito, H. P. McKean · American Mathematical Monthly · 1968 · 1.1K citations

Engineering, Mathematics, Financial Economics +16

On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

Igor Vladimirovich Girsanov · Theory of Probability and Its Applications · 1960 · 732 citations

Engineering, Mathematics, Probability Theory +14

Explicit Solutions to Some Problems of Optimal Stopping

L. A. Shepp · The Annals of Mathematical Statistics · 1969 · 122 citations · Full text

Business, Economics, Mathematics +11

On an Identity for Stochastic Integrals

Alexander Novikov · Theory of Probability and Its Applications · 1973 · 103 citations

Engineering, Mathematics, Probability Theory +11

On a problem of Girsanov

Norihiko Kazamaki · Tohoku Mathematical Journal · 1977 · 59 citations · Full text

Engineering, Mathematics, Stochastic Processes +3