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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Kazamaki's condition ： ウィキペディア英語版 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. == Statement of Kazamaki's condition == Let $M\; =\; (M\_t)\_$ be a continuous local martingale with respect to a right-continuous filtration $(\backslash mathcal\_t)\_$. If $(\backslash exp(M\_t/2))\_$ is a uniformly integrable submartingale, then the Doléans-Dade exponential ''(unicode:Ɛ)''(''M'') of M is a uniformly integrable martingale. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Kazamaki's condition」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.