A Note on the Exponential G-Martingale
We get the exponential G-martingale theorem with the Kazamaki condition and tell a distinct difference between the Kazamaki’s and Novikov’s criteria with an example.
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2013/247307 |
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| Summary: | We get the exponential G-martingale theorem with the Kazamaki condition and tell a distinct difference between the Kazamaki’s and Novikov’s criteria with an example. |
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| ISSN: | 1085-3375 1687-0409 |