Journal
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES
Volume 94, Issue 5, Pages 710-722Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/17442508.2021.1981326
Keywords
Right continuous filtration; stochastic exponential; local martingale; Girsanov's transformation
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The paper generalizes the well known mixed Novikov-Kazamaki condition and introduces a new type sufficient condition for the uniform integrability of the stochastic exponential with jumps.
We generalize the well known mixed Novikov-Kazamaki condition and introduce a new type sufficient condition for the uniform integrability of the stochastic exponential with jumps.
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