Weak tail conditions for local martingales (Q2421830)

Since the seminal work of \textit{I. V. Girsanov} [Theory Probab. Appl. 5, 285--301 (1962; Zbl 0100.34004); translation from Teor. Veroyatn. Primen. 5, 314--330 (1960)] numerous papers have been devoted to conditions on exponential local martingales ensuring they are uniformly integrable. This interest relies on the relationship with the change of probability measure which has an essential role in the modern stochastic finance. Following \textit{K. M. Rao} [Math. Scand. 24, 79--92 (1969; Zbl 0193.45502)], there has been some efforts to characterize uniform integrability among various subclasses of real local martingales. Here, the authors give a definitive answer to this question in the context of arbitrary càdlàg local martingales. They prove that the conjunction of three simple conditions is necessary and sufficient to obtain uniform integrability. This is a significant result.