An extended Novikov-type criterion for local martingales with jumps

@article{Sokol2012AnEN,
  title={An extended Novikov-type criterion for local martingales with jumps},
  author={Alexander Sokol},
  journal={arXiv: Probability},
  year={2012}
}
For local martingales with nonnegative jumps, we prove a sufficient criterion for the corresponding exponential martingale to be a true martingale. The criterion is in terms of exponential moments of a convex combination of the optional and predictable quadratic variation. The result extends earlier known criteria. 

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