The mixed Novikov–Kazamaki type condition for the uniform integrability of the general stochastic exponential

DOI10.1080/17442508.2021.1981326zbMATH Open1492.60112OpenAlexW3204540588WikidataQ115549601 ScholiaQ115549601MaRDI QIDQ5094572FDOQ5094572

Authors:

Publication date: 3 August 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2021.1981326

zbMATH Keywords

local martingalestochastic exponentialGirsanov's transformationright continuous filtration

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cites Work

• Continuous exponential martingales and BMO
• Calcul stochastique et problèmes de martingales
• On an Identity for Stochastic Integrals
• No Arbitrage and General Semimartingales
• Sur l'int�grabilit� uniforme des martingales exponentielles
• Optimal Novikov-type criteria for local martingales with jumps
• When a stochastic exponential is a true martingale. Extension of the Beneš method
• Necessary and sufficient conditions for the uniform integrability of the stochastic exponential

This page was built for publication: The mixed Novikov–Kazamaki type condition for the uniform integrability of the general stochastic exponential

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5094572)