A new proof for the conditions of Novikov and Kazamaki

DOI10.1016/J.SPA.2012.09.011MaRDI QIDQ1933593zbMATHOpenAlexFDO

Authors 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 processlocal martingaleuniform integrabilitystochastic exponentiallower functionFöllmer's measure

Mathematics Subject Classification ID

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

Abstract: This paper provides a novel proof for the sufficiency of certain well-known criteria that guarantee the martingale property of a continuous, nonnegative local martingale. More precisely, it is shown that generalizations of Novikov's condition and Kazamaki's criterion follow directly from the existence of F"ollmer's measure. This approach allows to extend well-known criteria of martingality from strictly positive to only nonnegative, continuous local martingales.

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Cited in

(18)

• New version of the Ladyzhenskaya–Prodi–Serrin condition
• Simplified calculus for semimartingales: multiplicative compensators and changes of measure
• On the martingale property in stochastic volatility models based on time-homogeneous diffusions
• Necessary and sufficient conditions for the uniform integrability of the stochastic exponential
• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
• An extension of the mixed Novikov-Kazamaki condition
• Weak tail conditions for local martingales
• Large deviation principle for Volterra type fractional stochastic volatility models
• The filtering equations revisited
• The entropy production of stationary diffusions
• Some sufficient conditions for Novikov's criterion
• Convergence of local supermartingales
• A weak convergence criterion for constructing changes of measure
• On the hedging of options on exploding exchange rates
• Distribution of the time to explosion for one-dimensional diffusions
• Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
• Supermartingales as Radon-Nikodym densities and related measure extensions
• A few comments on a result of A. Novikov and Girsanov's theorem

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