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 be a continuous local martingale with respect to a right-continuous filtration. If is a uniformly integrable submartingale, then the Doléans-Dade exponential Ɛ of M is a uniformly integrable martingale.
