On an Identity for Stochastic Integrals

DOI10.1137/1117088MaRDI QIDQ4771947zbMATH OpenOpenAlexFDO

Authors A. Novikov

Publication date 1972

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

Full work available at URL https://doi.org/10.1137/1117088

Mathematics Subject Classification ID

Diffusion processes (60J60) Measure-preserving transformations (28D05) Stochastic integrals (60H05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cited in

(40)

• Sur l'int�grabilit� uniforme des martingales exponentielles
• A few comments on a result of A. Novikov and Girsanov's theorem
• Convergence of local supermartingales
• On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
• The mixed Novikov–Kazamaki type condition for the uniform integrability of the general stochastic exponential
• Optimal statistical decisions about some alternative financial models
• An extension of the mixed Novikov-Kazamaki condition
• On the martingale property of certain local martingales
• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
• The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
• A note on a result of Liptser-Shiryaev
• A jump diffusion model for spot electricity prices and market price of risk
• On the martingale property in stochastic volatility models based on time-homogeneous diffusions
• The finiteness of moments of a stochastic exponential.
• Weak tail conditions for local martingales
• Uniqueness and absolute continuity for semilinear SPDE's
• Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• Travelling waves in monostable and bistable stochastic partial differential equations
• Robustness of the nonlinear filter: the correlated case.
• From minority game to Black \& Scholes pricing
• Necessary and sufficient conditions for the uniform integrability of the stochastic exponential
• Branching Brownian motion in a periodic environment and existence of pulsating traveling waves
• Ramsey rule with forward/backward utility for long-term yield curves modeling
• A weak convergence criterion for constructing changes of measure
• A Girsanov result for the Pettis integral
• Uniform integrability of exponential processes
• Weak solutions for stochastic differential equations with additive fractional noise
• A vector Girsanov result and its applications to conditional measures via the Birkhoff integrability
• Uniform integrability of continuous exponential martingales
• On a problem of Girsanov
• A criterion for uniform integrability of exponential martingales
• On exponential moments of two Brownian functionals
• Optimal dynamic futures portfolio under a multifactor Gaussian framework
• Trait-dependent branching particle systems with competition and multiple offspring
• Infinite-dimensional Wiener processes with drift
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
• On the transformation of some classes of martingales by a change of law
• A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations

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