Journal
JOURNAL OF THEORETICAL PROBABILITY
Volume 35, Issue 1, Pages 282-294Publisher
SPRINGER/PLENUM PUBLISHERS
DOI: 10.1007/s10959-020-01047-4
Keywords
Stochastic exponential; Girsanov's transformation; Local martingale
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We establish the necessary and sufficient conditions for the uniform integrability of the stochastic exponential E(M), where M is a continuous local martingale.
We establish necessary and sufficient conditions for uniform integrability of the stochastic exponential E(M), where M is a continuous local martingale.
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