Martingale theory

Kazamaki's condition

In mathematics Kazamaki's condition gives a sufficient criterion ensuring that the Doléans-Dade exponential of a local martingale is a true martingale. This is particularly important if Girsanov's theorem is to be applied to perform a change of measure. Kazamaki's condition is more general than Novikov's condition. (Wikipedia).

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Related pages

Local martingale | Martingale (probability theory) | Novikov's condition | Girsanov theorem | Right-continuous filtration | Doléans-Dade exponential