An extended Novikov-type criterion for local martingales with jumps

Published 10 Oct 2012 in math.PR | (1210.2866v1)

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.

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Authors (1)

Alexander Sokol

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