Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155609 | Stochastic Processes and their Applications | 2013 | 18 Pages |
Abstract
This paper provides a novel proof for the sufficiency of certain well-known criteria that guarantee the martingale property of a continuous, nonnegative local martingale. More precisely, it is shown that generalizations of Novikov's condition and Kazamaki's criterion follow directly from the existence of Föllmer's measure. This approach allows to extend well-known criteria of martingality from strictly positive to only nonnegative, continuous local martingales.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Johannes Ruf,