Novikov condition
= Novikov condition
{c}
{wiki=Novikov's_condition}
If a continuous local martingale $M$ satisfies
$$
\mathbb E\exp\!\left(\frac12[M]_T\right)<\infty,
$$
then its <stochastic exponential> is a true martingale through time $T$.
= Novikov condition
{c}
{wiki=Novikov's_condition}
If a continuous local martingale $M$ satisfies
$$
\mathbb E\exp\!\left(\frac12[M]_T\right)<\infty,
$$
then its <stochastic exponential> is a true martingale through time $T$.