| Título: | Optimal Novikov-type criteria for local martingales with jumps |
| Autores: | Sokol, Alexander; University of Copenhagen |
| Fecha: | 2013-01-03 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
Martingale, Exponential martingale, Uniform integrability, Novikov, Optimal, Poisson process 60G44 |
| Descripción: | We consider cadlag local martingales M with initial value zero and jumps larger than a for some a larger than or equal to -1, and prove Novikov-type criteria for an exponential local martingale to be a uniformly integrable martingale. We obtain criteria using both the quadratic variation and the predictable quadratic variation. We prove optimality of the coefficients in the criteria. As a corollary, we obtain a verbatim extension of the classical Novikov criterion for continuous local martingales to the case of local martingales with initial value zero and nonnegative jumps. |
| Idioma: | Inglés |
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