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

B. Chikvinidze ()
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B. Chikvinidze: Georgian-American University, Business school

Journal of Theoretical Probability, 2022, vol. 35, issue 1, 282-294

Abstract: 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.

Keywords: Stochastic exponential; Girsanov’s transformation; Local martingale; 60G44 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10959-020-01047-4

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