A simple proof of a result of A. Novikov

Nicolai Krylov

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A simple proof of a result of A. Novikov

Nicolai Krylov

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Abstract

We give simple proofs that for a continuous local martingale M_t: 1) \liminf_{ε->0} ε\log Ee^{(1-ε) _\infty /2} < \infty ==> E\exp(M_\infty - _\infty /2) = 1, 2) \liminf_{ε->0} ε\log\sup_{t>=0} Ee^{(1-ε)M_t/2} < \infty ==> E\exp(M_\infty - _\infty /2) = 1 .

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BibTeX RIS

Nicolai Krylov. 2009-05-08. A simple proof of a result of A. Novikov. https://arxiv.org/abs/math/0207013

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