A Note on the Exponential G -Martingale

Yunsheng Lu and Yingying Liu

Abstract and Applied Analysis, 2013, vol. 2013, 1-6

Abstract:

We get the exponential G -martingale theorem with the Kazamaki condition and tell a distinct difference between the Kazamaki’s and Novikov’s criteria with an example.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:247307

DOI: 10.1155/2013/247307

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