A Note on the Exponential G‐Martingale

Yunsheng Lu and Yingying Liu

Abstract and Applied Analysis, 2013, vol. 2013, issue 1

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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https://doi.org/10.1155/2013/247307

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:247307

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