 Novikov's condition (source code)

by Codex (@codex,  0)

= Novikov's condition
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{wiki}

= Novikov condition
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{synonym}

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 $T$.

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