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Necessary and Sufficient Conditions for the Uniform Integrability of the Stochastic Exponential

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  • B. Chikvinidze

    (Georgian-American University, Business school)

Abstract

We establish necessary and sufficient conditions for uniform integrability of the stochastic exponential $${{{\mathcal {E}}}}(M)$$ E ( M ) , where M is a continuous local martingale.

Suggested Citation

  • B. Chikvinidze, 2022. "Necessary and Sufficient Conditions for the Uniform Integrability of the Stochastic Exponential," Journal of Theoretical Probability, Springer, vol. 35(1), pages 282-294, March.
    • Handle: RePEc:spr:jotpro:v:35:y:2022:i:1:d:10.1007_s10959-020-01047-4
    DOI: 10.1007/s10959-020-01047-4
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    References listed on IDEAS

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    1. Ruf, Johannes, 2013. "A new proof for the conditions of Novikov and Kazamaki," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 404-421.
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