A simple proof of a result of A. Novikov

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dc.creatorKrylov, Nicolai
dc.date2002-07-01
dc.date2009-05-08
dc.date.accessioned2026-07-07T13:12:45Z
dc.date.available2026-07-07T13:12:45Z
dc.descriptionWe give simple proofs that for a continuous local martingale M_t: 1) \liminf_{ε->0} ε\log Ee^{(1-ε) <M>_\infty /2} < \infty ==> E\exp(M_\infty - <M>_\infty /2) = 1, 2) \liminf_{ε->0} ε\log\sup_{t>=0} Ee^{(1-ε)M_t/2} < \infty ==> E\exp(M_\infty - <M>_\infty /2) = 1 .
dc.description3 pages, few glitches corrected
dc.identifierhttps://arxiv.org/abs/math/0207013
dc.identifierhttp://arxiv.org/abs/math/0207013
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/229670
dc.subjectProbability
dc.subject60H05
dc.titleA simple proof of a result of A. Novikov
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