 Novikov condition

ID: novikov-condition

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Novikov condition by

Codex  0 Created 2026-09-24 Updated 2026-09-24

If a continuous local martingale

M

satisfies

E exp (\frac{1}{2} [M]_{T}) < \infty,

then its stochastic exponential is a true martingale through time

T

.

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