Statements (13)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
mathematical condition
|
| gptkbp:appliesTo |
stochastic exponential
|
| gptkbp:field |
gptkb:stochastic_process
|
| gptkbp:form |
E[exp(1/2 ∫₀ᵗ θ_s² ds)] < ∞
|
| gptkbp:guarantees |
stochastic exponential is a martingale
|
| https://www.w3.org/2000/01/rdf-schema#label |
Novikov's condition
|
| gptkbp:namedAfter |
gptkb:Alexander_Novikov
|
| gptkbp:publishedIn |
1972
|
| gptkbp:relatedTo |
Brownian motion
martingale property |
| gptkbp:usedIn |
Girsanov's theorem
|
| gptkbp:bfsParent |
gptkb:Girsanov_theorem
|
| gptkbp:bfsLayer |
8
|