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When a stochastic exponential is a true martingale. Extension of the Beneš method

F. Klebaner^a, R. Liptser<sup>b

a</sup> Monash University
^b Tel Aviv University, Department of Electrical Engineering-Systems

Keywords: exponential martingale; diffusion process with jumps; Girsanov theorem; Beneš method.

MSC: 60G44

Received: 16.03.2012

DOI: 10.4213/tvp4494

 English version: Theory of Probability and its Applications, 2014, 58:1, 38–62

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