A new proof for the conditions of Novikov and Kazamaki

Johannes Ruf

Stochastic Processes and their Applications, 2013, vol. 123, issue 2, 404-421

Abstract: 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 condition and Kazamaki’s criterion follow directly from the existence of Föllmer’s measure. This approach allows to extend well-known criteria of martingality from strictly positive to only nonnegative, continuous local martingales.

Keywords: Local martingale; Stochastic exponential; Föllmer’s measure; Uniform integrability; Lower function; Bessel process (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2012.09.011

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