A. Novikov 一个结果的简单证明
概率论
2009-05-08 v2
摘要
我们对连续局部鞅 M_t 给出简单证明：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。
关键词
引用
@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}
}
备注
3 pages, few glitches corrected