XII: 05, 47-50, LNM 649 (1978)
KAZAMAKI, Norihiko
A remark on a problem of Girsanov (Martingale theory)
It is shown that, if $M$ is a continuous local martingale which belongs to $BMO$, its stochastic exponential is a uniformly integrable martingale
Comment: This has become a well-known result. It is false for complex valued martingales, even bounded ones: see 1832
Keywords: Stochastic exponentials, $BMO$
Nature: Original
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