An extension of the mixed Novikov–Kazamaki condition

DOI10.1142/S0219025717500229zbMath1386.60158MaRDI QIDQ4599627

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Publication date: 4 January 2018

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

zbMATH Keywords

Girsanov transformationstochastic exponentiallower function

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (1)

Necessary and sufficient conditions for the uniform integrability of the 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
• On an Identity for Stochastic Integrals

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