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

DOI10.1007/S10959-020-01047-4zbMATH Open1498.60163arXiv1907.04991OpenAlexW3094726363WikidataQ115603646 ScholiaQ115603646MaRDI QIDQ2116479FDOQ2116479

Authors: Yanyan Li 

Publication date: 17 March 2022

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

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

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)

Cites Work

• Continuous exponential martingales and BMO
• A new proof for the conditions of Novikov and Kazamaki
• Title not available (Why is that?)
• Title not available (Why is that?)
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On an Identity for Stochastic Integrals
• A new sufficient condition for uniform integrability of stochastic exponentials
• An extension of the mixed Novikov-Kazamaki condition

Cited In (3)

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

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