An extended Novikov-type criterion for local martingales with jumps
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An extended Novikov-type criterion for local martingales with jumps (scientific article; zbMATH DE number 900211226)
An extended Novikov-type criterion for local martingales with jumps (scientific article; zbMATH DE number 900211226)
Abstract: For local martingales with nonnegative jumps, we prove a sufficient criterion for the corresponding exponential martingale to be a true martingale. The criterion is in terms of exponential moments of a convex combination of the optional and predictable quadratic variation. The result extends earlier known criteria.
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