Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 94, 2022 - Issue 5
63
Views
0
CrossRef citations to date
0
Altmetric
Research Article

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

Pages 710-722 | Received 10 Feb 2021, Accepted 02 Sep 2021, Published online: 28 Sep 2021

References

  • B. Chikvinidze, Necessary and sufficient conditions for the uniform integrability of the stochastic exponential, J. Theor. Probab. https://doi.org/https://doi.org/10.1007/s10959-020-01047-4.
  • J. Jacod, Calcul Stochastique et Problemes de Martingales, Vol. 714, Lecture Notes in Mathematics, Springer-Verlag, Berlin, Heidelberg, New York, 1979.
  • N. Kazamaki, Continuous Exponential Martingales and BMO, Vol. 1579, Lecture Notes in Mathematics, Springer, Berlin-Heidelberg, 1994.
  • F. Klebaner and R. Liptser, When a stochastic exponential is a true martingale. Extension of the Benes method, Theor. Probab. Appl. 58 (2014), pp. 38–62.
  • D. Lepingle and J. Memin, Sur L'integrabilite uniforme des martingales exponentielles, Zeitschrift Fur Wahrscheinlichkeitstheorie Und Verwandte Gebiete, 42 (1978), pp. 175–203.
  • J. Memin and A.N. Shiryaev, Un Critere Previsible Pour L'uniforme Integrabilite Des Semimartingales Exponentielles, Vol. 649, Lecture Notes in Mathematics, Springer-Verlag, Berlin, Heidelberg, New York, 1978, pp. 147–161.
  • A.A. Novikov, On an identity for stochastic integrals, Theor. Probab. Appl. 17 (1972), pp. 717–720.
  • P. Protter, K. Shimbo, No arbitrage and general semimartingales, Markov Processes Relat. Top.: a Festschrift Thomas G. Kurtz 4 (2008), pp. 267–283.
  • A. Sokol. Optimal Novikov-type criteria for local martingales with jumps, Electron. Commun. Probab. 18 (2013), pp. 1–8. DOI: https://doi.org/10.1214/ECP.v18-2312, ISSN: 1083-589X.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.