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Teoriya Veroyatnostei i ee Primeneniya, 1979, Volume 24, Issue 4, Pages 821–825 (Mi tvp2902)  

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
English version:
Theory of Probability and its Applications, 1980, Volume 24, Issue 4, Pages 820–824
DOI: https://doi.org/10.1137/1124094
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Nov79}
\by A.~A.~Novikov
\paper On the conditions of the uniform integrability of the continuous nonnegative martingales
\jour Teor. Veroyatnost. i Primenen.
\yr 1979
\vol 24
\issue 4
\pages 821--825
\mathnet{http://mi.mathnet.ru/tvp2902}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=550537}
\zmath{https://zbmath.org/?q=an:0441.60046|0416.60050}
\transl
\jour Theory Probab. Appl.
\yr 1980
\vol 24
\issue 4
\pages 820--824
\crossref{https://doi.org/10.1137/1124094}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1979KW11900012}
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  • https://www.mathnet.ru/eng/tvp/v24/i4/p821
  • This publication is cited in the following 14 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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