Optimal Novikov-type criteria for local martingales with jumps

DOI10.1214/ECP.V18-2312zbMath1312.60051arXiv1206.7009MaRDI QIDQ743003

Alexander Sokol

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.7009

zbMATH Keywords

martingalesuniform integrabilityPoisson processNovikov-type criteria

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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