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- W2772802013 abstract "Given a continuous local martingale [Formula: see text], the associated stochastic exponential [Formula: see text] is a local martingale, but not necessarily a true martingale. To know whether [Formula: see text] is a true martingale is important for many applications, e.g., if Girsanov’s theorem is applied to perform a change of measure. We give several generalizations of Kazamaki’s results and finally construct a counterexample which does not satisfy the mixed Novikov–Kazamaki condition, but satisfies our conditions." @default.
- W2772802013 created "2017-12-22" @default.
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- W2772802013 date "2017-12-01" @default.
- W2772802013 modified "2023-09-27" @default.
- W2772802013 title "An extension of the mixed Novikov–Kazamaki condition" @default.
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- W2772802013 doi "https://doi.org/10.1142/s0219025717500229" @default.
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