Kazamaki's condition

In mathematics, Kazamaki's condition gives a sufficient criterion ensuring that the Doléans-Dade exponential of a local martingale is a true martingale. This is particularly important if Girsanov's theorem is to be applied to perform a change of measure. Kazamaki's condition is more general than Novikov's condition.

Statement of Kazamaki's condition
Let $$M = (M_t)_{t \ge 0}$$ be a continuous local martingale with respect to a right-continuous filtration $$(\mathcal{F}_t)_{t \ge 0}$$. If $$(\exp(M_t/2))_{t \ge 0}$$ is a uniformly integrable submartingale, then the Doléans-Dade exponential Ɛ(M) of M is a uniformly integrable martingale.