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Optimal Novikov-type criteria for local martingales with jumps

   
@article{ECP2312,
	author = {Alexander Sokol},
	title = {Optimal Novikov-type criteria for local martingales with jumps},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {18},
	year = {2013},
	keywords = {Martingale, Exponential martingale, Uniform integrability, Novikov, Optimal, Poisson process},
	abstract = {
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.

},
	pages = {no. 39, 1-8},
	issn = {1083-589X},
	doi = {10.1214/ECP.v18-2312},    
        url = {http://ecp.ejpecp.org/article/view/2312}}