A new proof for the conditions of Novikov and Kazamaki (Q1933593)

The author gives a simple new proof for the conditions of Novikov and Kazamaki, which give sufficient criteria for the martingale property of nonnegative, continuous local martingales. The proof uses the Föllmer measure associated to a nonnegative local martingale: If \(X\) is a nonnegative local martingale, and \(Q\) is its Föllmer measure, then \(X\) is a martingale if and only if \(X\) does not explode \(Q\)-almost surely. This allows for a simple proof of a general sufficient criterion for the martingale property of continuous, nonnegative local martingales. The criterion is implied by both Novikov's and Kazamaki's conditions, so that in particular the proof also establishes the sufficiency of these well-known conditions for the martingale property. Several examples are studied in detail.