A simple proof of a result of A. Novikov
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Publication:6471968
arXivmath/0207013MaRDI QIDQ6471968FDOQ6471968
Authors: N. V. Krylov 
Publication date: 1 July 2002
Abstract: We give simple proofs that for a continuous local martingale M_t: 1) liminf_{epsilon->0} epsilon log Ee^{(1-epsilon) <M>_infty /2} < infty ==> Eexp(M_infty - <M>_infty /2) = 1, 2) liminf_{epsilon->0} epsilon logsup_{t>=0} Ee^{(1-epsilon)M_t/2} < infty ==> Eexp(M_infty - <M>_infty /2) = 1 .
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