An extension of the Jacod's condition

TL;DR

This paper extends Jacod's condition by proposing a new sufficient criterion to ensure the uniform integrability of the general stochastic exponential, broadening the applicability of existing theoretical results.

Contribution

The paper introduces a generalized version of Jacod's condition, providing a novel sufficient condition for uniform integrability of stochastic exponentials.

Findings

Established a new sufficient condition for stochastic exponential integrability

Generalized Jacod's condition to broader classes of processes

Enhanced theoretical understanding of stochastic exponential behavior

Abstract

We generalize Jacod's condition and introduce a new type sufficient condition for the uniform integrability of the general stochastic exponential.