Novikov's condition
id:
novikov-s-condition-249-18702248
title:
Novikov's condition
text:
In probability theory, Novikov's condition is the sufficient condition for a stochastic process which takes the form of the Radon–Nikodym derivative in Girsanov's theorem to be a martingale. If satisfied together with other conditions, Girsanov's theorem may be applied to a Brownian motion stochastic process to change from the original measure to the new measure defined by the Radon–Nikodym derivative. This condition was suggested and proved by Alexander Novikov. There are other results which ma
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https://en.wikipedia.org/wiki/Novikov%27s_condition
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2017-08-13T05:53:37Z
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