“Kazamaki's condition”的意思、由来-开放百科全书

词条

Kazamaki's condition

释义

Statement of Kazamaki's condition
References

In mathematics Kazamaki's condition gives a sufficient criterion ensuring that the Doléans-Dade exponential of a local martingale is a true martingale. This is particularly important if Girsanov's theorem is to be applied to perform a change of measure. Kazamaki's condition is more general than Novikov's condition.

Statement of Kazamaki's condition

Let be a continuous local martingale with respect to a right-continuous filtration . If is a uniformly integrable submartingale, then the Doléans-Dade exponential Ɛ(M) of M is a uniformly integrable martingale.

References

{{cite book |first=Daniel |last=Revuz |first2=Marc |last2=Yor |title=Continuous Martingales and Brownian motion |publisher=Springer-Verlag |location=New York |year=1999 |isbn=3-540-64325-7 }}

1 : Martingale theory

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