This paper provides a novel proof for the sufficiency of certain well-known criteria that guarantee the martingale property of a continuous, nonnegative local martingale. More precisely, it is shown that generalizations of Novikov’s condition and Kazamaki’s criterion follow directly from the...

De Haan and Karandikar (1989) [7] introduced generalized Ornstein–Uhlenbeck processes as one-dimensional processes (Vt)t≥0 which are basically characterized by the fact that for each h0 the equidistantly sampled process (Vnh)n∈N0 satisfies the random recurrence equation...