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Teoriya Veroyatnostei i ee Primeneniya, 1979, Volume 24, Issue 4, Pages 821–825
(Mi tvp2902)
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This article is cited in 14 scientific papers (total in 14 papers)
Short Communications
On the conditions of the uniform integrability of the continuous nonnegative martingales
A. A. Novikov Steklov Mathematical Institute, Academy of Sciences of the USSR, Moscow
Abstract:
The problem of the uniform integrability of martingales
$$
Z_t=\exp\{\mu_t-1/2\langle\mu\rangle_t\}
$$
is considered, where $\mu_t$ is a continuous martingale and $\langle\mu\rangle_t$ is its increasing process.
It is shown that the condition
$$
\mathbf M\exp\{1/2\langle\mu\rangle_{\infty}-C\langle\mu\rangle_{\infty}^{1/2}\}<\infty
$$
with any positive constant $C$ implies the uniform integrability of $Z_t$. In the case when $\mu_t$ is a stopped Wiener process the another condition (which is weaker and nonimproved in some sence) is given.
Received: 09.11.1977
Citation:
A. A. Novikov, “On the conditions of the uniform integrability of the continuous nonnegative martingales”, Teor. Veroyatnost. i Primenen., 24:4 (1979), 821–825; Theory Probab. Appl., 24:4 (1980), 820–824
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