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arXiv · 1903.00759

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

N. V. Krylov
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Abstract

We give a simple proof that for a continuous local martingale $M_{t}$ $$ \liminf_{\varepsilon\downarrow0}\varepsilon \log Ee^{(1-\varepsilon) \langle M\rangle_{\infty}/2}<\infty \Longrightarrow E\exp(M_{\infty}-\langle M\rangle_{\infty}/2)=1. $$

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N. V. Krylov. 2019-03-02. A few comments on a result of A. Novikov and Girsanov's theorem. https://doi.org/10.1080/17442508.2019.1590356

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