A simple proof of a result of A. Novikov
Probability
2009-05-08 v2
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 ==> E\exp(M_\infty - <M>_\infty /2) = 1, 2) \liminf_{\epsilon->0} \epsilon \log\sup_{t>=0} Ee^{(1-\epsilon)M_t/2} < \infty ==> E\exp(M_\infty - <M>_\infty /2) = 1 .
Cite
@article{arxiv.math/0207013,
title = {A simple proof of a result of A. Novikov},
author = {Nicolai Krylov},
journal= {arXiv preprint arXiv:math/0207013},
year = {2009}
}
Comments
3 pages, few glitches corrected