An extended Novikov-type criterion for local martingales with jumps

Abstract

For local martingales with nonnegative jumps, we prove a sufficient criterion for the corresponding exponential martingale to be a true martingale. The criterion is in terms of exponential moments of a convex combination of the optional and predictable quadratic variation. The result extends earlier known criteria.

arXiv admin note: substantial text overlap with arXiv:1206.7009