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

DOI10.1080/17442508.2021.1981326MaRDI QIDQ5094572zbMATH OpenOpenAlexWikidataFDO

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

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

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