Some sufficient conditions for Novikov’s criterion

Dung, Nguyen

doi:10.1090/proc/14074

Some sufficient conditions for Novikov’s criterion
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by Nguyen Tien Dung

Proc. Amer. Math. Soc. 146 (2018), 3583-3590

DOI: https://doi.org/10.1090/proc/14074

Published electronically: May 2, 2018

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Abstract:

In this note, we employ the techniques of Malliavin calculus to provide some sufficient conditions for a stochastic process to satisfy Novikov’s criterion. In particular, we obtain an improvement for Buckdahn’s results established in Probab. Theory Related Fields 89 (1991), 211-238 and a generalization of Borell-TIS inequality.

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