A few comments on a result of A. Novikov and Girsanov's theorem

Abstract

We give a simple proof that for a continuous local martingale $M_t$ $$\underset{\epsilon \downarrow 0}{\mathrm{liminf}}\epsilon \log E{e}^{(1-\epsilon )⟨M{⟩}_{\infty }/2}<\infty ⟹E\exp (M_{\infty }-⟨M{⟩}_{\infty }/2)=1.$$

4 pages, to appear in Stochastics who provided me with the doi number

References in corpus (1)

• A new proof for the conditions of Novikov and Kazamaki