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

Abstract

We generalize the well known mixed Novikov–Kazamaki condition and introduce a new type sufficient condition for the uniform integrability of the stochastic exponential with jumps.

Keywords:

• Right continuous filtration
• stochastic exponential
• local martingale
• Girsanov's transformation

2010 Mathematics Subject Classification:

• 60 G44

Disclosure statement

No potential conflict of interest was reported by the author(s).