On Conditions for Uniform Integrability of Continuous Non-Negative Martingales

DOI10.1137/1124094MaRDI QIDQ3883236zbMATH OpenOpenAlexFDO

Authors A. Novikov

Publication date 1980

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1124094

zbMATH Keywords

conditions for uniform integrability

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Brownian motion (60J65)

Cited in

(4)

• Markov chain approximation and measure change for time-inhomogeneous stochastic processes
• Two-armed restless bandits with imperfect information: stochastic control and indexability
• The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
• Criteria for what makes a local optional martingale a true martingale

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