Abstract
We give a simple proof that for a continuous local martingale (Formula presented.) (Formula presented.).
Original language | English (US) |
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Pages (from-to) | 1186-1189 |
Number of pages | 4 |
Journal | Stochastics |
Volume | 91 |
Issue number | 8 |
DOIs | |
State | Published - Nov 17 2019 |
Bibliographical note
Publisher Copyright:© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.
Keywords
- Exponential martingales
- Girsanov's theorem
- Novikov's condition