A new proof for the conditions of Novikov and Kazamaki

DOI10.1016/j.spa.2012.09.011zbMath1282.60048arXiv1111.5583OpenAlexW2155027369MaRDI QIDQ1933593

Johannes Ruf

Publication date: 24 January 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.5583

zbMATH Keywords

Bessel processuniform integrabilitylocal martingalestochastic exponentialFöllmer's measurelower function

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Foundations of stochastic processes (60G05)

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