相关论文: A simple proof of a result of A. Novikov

We give a simple proof that for a continuous local martingale $M_{t}$ $$ \liminf_{\varepsilon\downarrow0}\varepsilon \log Ee^{(1-\varepsilon) \langle M\rangle_{\infty}/2}<\infty \Longrightarrow E\exp(M_{\infty}-\langle…

The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) <M,M>_t\}$ of a continuous local martingale $M$ is itself a continuous local martingale. We give a necessary and sufficient condition for the process $Z$ to be a true martingale in the…

This paper provides a novel proof for the sufficiency of certain well-known criteria that guarantee the martingale property of a continuous, nonnegative local martingale. More precisely, it is shown that generalizations of Novikov's…

We show that a continuous local martingale is a strict local martingale if its supremum process is not in $ L_\alpha$ for a positive number $\alpha $ smaller than $1$. Using this we construct a family of strict local martingales.

Let $M = (M_t)_{t \ge 0}$ be any continuous real-valued stochastic process such that $M_0=0$. Chaumont and Vostrikova proved that if there exists a sequence $(a_n)_{n \ge 1}$ of positive real numbers converging to 0 such that $M$ satisfies…

We provide a new short proof of the following fact, first proved by one of us in 1998: If two Weyl-Titchmarsh m-functions, $m_j(z)$, of two Schr\"odinger operators $H_j = -\f{d^2}{dx^2} + q_j$, j=1,2 in $L^2 ((0,R))$, $0<R\leq \infty$, are…

A proof of the continuous martingale convergence theorem is provided. It relies on a classical martingale inequality and the almost sure convergence of a uniformly bounded non-negative super-martingale, after a truncation argument.

We derive equivalent conditions for the (local) absolute continuity of two laws of semimartingales on random sets. Our result generalizes previous results for classical semimartingales by replacing a strong uniqueness assumption by a weaker…

Let $(\Omega, \A, \mu)$ be a Lebesgue space and $T$ an ergodic measure preserving automorphism on $\Omega$ with positive entropy. We show that there is a bounded and strictly stationary martingale difference sequence defined on $\Omega$…

Let $M_n$ be a random $n\times n$ matrix with i.i.d. $\text{Bernoulli}(1/2)$ entries. We show that for fixed $k\ge 1$, \[\lim_{n\to \infty}\frac{1}{n}\log_2\mathbb{P}[\text{corank }M_n\ge k] = -k.\]

We consider local martingales $M$ with jumps larger than $a$ for some $a$ larger than or equal to -1, and prove Novikov-type criteria for the corresponding exponential local martingale to be a uniformly integrable martingale. We obtain…

Let $L$ be a multidimensional L\'evy process under $P$ in its own filtration. The $f^q$-minimal martingale measure $Q_q$ is defined as that equivalent local martingale measure for $\mathcal {E}(L)$ which minimizes the $f^q$-divergence…

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…

In the note, two alternative proofs are provided for a monotonicity result that the function $\psi(x)+\ln\bigl(e^{1/x}-1\bigr)$ is strictly increasing on $(0,\infty)$, where $\psi(x)$ is the psi function.

We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an…

Talagrand observed that finiteness of $\mathbb{E}\, e^{\frac{1}{2}|\nabla f(X)|^{2}}$ implies finiteness of $\mathbb{E}\, e^{\, f(X)}$ where $X$ is the standard Gaussian vector in $\mathbb{R}^{n}$ and $f$ is a smooth function with zero…

We study i.i.d. sums $\tau_k$ of nonnegative variables with index $0$: this means $\mathbf{P}(\tau_1=n) = \varphi(n) n^{-1}$, with $\varphi(\cdot)$ slowly varying, so that $\mathbf{E}(\tau_1^\varepsilon)=\infty$ for all $\varepsilon>0$. We…

We prove that, for locally bounded processes, absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to and motivated by results from the theory of…

In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables…

For any discrete-time $P$--local martingale $S$ there exists a probability measure $Q \sim P$ such that $S$ is a $Q$--martingale. A new proof for this result is provided. The core idea relies on an appropriate modification of an argument by…