Necessary and sufficient conditions for the uniform integrability of the stochastic exponential

DOI10.1007/S10959-020-01047-4zbMath1498.60163arXiv1907.04991OpenAlexW3094726363WikidataQ115603646 ScholiaQ115603646MaRDI QIDQ2116479

Yanyan Li

Publication date: 17 March 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.04991

zbMATH Keywords

local martingalestochastic exponentialGirsanov's transformation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (1)

The mixed Novikov–Kazamaki type condition for the uniform integrability of the general stochastic exponential

Cites Work

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• Continuous exponential martingales and BMO
• A new proof for the conditions of Novikov and Kazamaki
• A new sufficient condition for uniform integrability of stochastic exponentials
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• An extension of the mixed Novikov–Kazamaki condition
• On an Identity for Stochastic Integrals

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