A few comments on a result of A. Novikov and Girsanov's theorem

N. V. Krylov

doi:10.1080/17442508.2019.1590356

A few comments on a result of A. Novikov and Girsanov's theorem

N. V. Krylov

School of Mathematics

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

We give a simple proof that for a continuous local martingale (Formula presented.) (Formula presented.).

Original language	English (US)
Pages (from-to)	1186-1189
Number of pages	4
Journal	Stochastics
Volume	91
Issue number	8
DOIs	https://doi.org/10.1080/17442508.2019.1590356
State	Published - Nov 17 2019

Bibliographical note

Publisher Copyright:
© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.

Keywords

Exponential martingales
Girsanov's theorem
Novikov's condition

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10.1080/17442508.2019.1590356

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abstract = "We give a simple proof that for a continuous local martingale (Formula presented.) (Formula presented.).",

keywords = "Exponential martingales, Girsanov's theorem, Novikov's condition",

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KW - Exponential martingales

KW - Girsanov's theorem

KW - Novikov's condition

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VL - 91

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A few comments on a result of A. Novikov and Girsanov's theorem

Abstract

Bibliographical note

Keywords

Publisher link

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