An extended Novikov-type criterion for local martingales with jumps
Probability
2015-04-15 v1
Abstract
For local martingales with nonnegative jumps, we prove a sufficient criterion for the corresponding exponential martingale to be a true martingale. The criterion is in terms of exponential moments of a convex combination of the optional and predictable quadratic variation. The result extends earlier known criteria.
Keywords
Cite
@article{arxiv.1210.2866,
title = {An extended Novikov-type criterion for local martingales with jumps},
author = {Alexander Sokol},
journal= {arXiv preprint arXiv:1210.2866},
year = {2015}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1206.7009