Definition 5.1 Quantitative Methods · Chapter 5 — Girsanov and Changes of Numeraire An adapted process γ\gammaγ satisfies Novikov’s condition on [0,T][0, T][0,T] if E[exp(12∫0Tγs2 ds)]<∞\E[\exp(\tfrac12\int_0^T\gamma_s^2\,ds)] < \inftyE[exp(21∫0Tγs2ds)]<∞. Read in context →