A simple proof of a result of A. Novikov
Nicolai V. Krylov · arXiv (Cornell University) · 2002
We give simple proofs that for a continuous local martingale M_t: 1) \liminf_{ε->0} ε\log Ee^{(1-ε) _\infty /2} E\exp(M_\infty - _\infty /2) = 1, 2) \liminf_{ε->0} ε\log\sup_{t>=0} Ee^{(1-ε)M_t/2} E\exp(M_\infty - _\infty /2) = 1 .