A new proof for the conditions of Novikov and Kazamaki

Details A new proof for the conditions of Novikov and Kazamaki A new proof for the conditions of Novikov and Kazamaki

2011-11-23

arxiv.org/abs/1111.5583v1

Mathematics

Probability

Scientific paper

We provide a novel proof for the sufficiency of certain well-known criteria that guarantee the true martingality of a continuous, positive local martingale. More precisely, we show that generalizations of Novikov's condition and Kazamaki's criterion follow directly from the existence of the F\"ollmer measure. The proof also yields a version of these criteria that guarantees the martingality of an only nonnegative, continuous local martingale.

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