Nonnegative local martingales, Novikow's and Kazamaki's criteria, and the distribution of explosion times
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Mon, 25/02 15:45 |
JOHANNES RUF (University of Oxford) |
Stochastic Analysis Seminar  |
Oxford-Man Institute |
| I will give a new proof for the famous criteria by Novikov and Kazamaki, which provide sufficient conditions for the martingale property of a nonnegative local martingale. The proof is based on an extension theorem for probability measures that can be considered as a generalization of a Girsanov-type change of measure. In the second part of my talk I will illustrate how a generalized Girsanov formula can be used to compute the distribution of the explosion time of a weak solution to a stochastic differential equation | |||