Necessary and sufficient conditions for the uniform integrability of the stochastic exponential

DOI10.1007/S10959-020-01047-4MaRDI QIDQ2116479zbMATHOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 17 March 2022

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.04991

zbMATH Keywords

local martingalestochastic exponentialGirsanov's transformation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Abstract: We establish necessary and sufficient conditions for the uniform integrability of the stochastic exponential E(M).

Cites work

• scientific article; zbMATH DE number 3662295 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
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• Continuous exponential martingales and BMO
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On an Identity for Stochastic Integrals

Cited in

(3)

• The cumulant process and Esscher's change of measure
• Unified Solutions of Integral Equations of SPRT for Exponential Random Variables
• The mixed Novikov–Kazamaki type condition for the uniform integrability of the general stochastic exponential

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