Theory of Probability and Mathematical Statistics

A new sufficient condition for uniform integrability of exponential local martingales

D. Kh. Kazanchyan, V. M. Kruglov

Lomonosov Moscow State University, Moscow

Abstract: In the article it is suggested a new sufficient condition for uniform integrability of continues exponential local martingales. It is shown that the condition is much weaker then a number of known sufficient conditions for uniform integrability of exponential local martingales.

Keywords: uniform integrability, exponential processes, martingales, stopping times, martingales.

UDC: 519.2

Received: 08.08.2020
Revised: 12.10.2020

DOI: 10.26456/vtpmk596

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