Geodesic
On discontinuous martingales
Teoriâ veroâtnostej i ee primeneniâ, Tome 20 (1975) no. 1, pp. 13-28

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The paper deals with local discontinuous martingales representable as stochastic integrals by an integer-valued measure (in particular, martingales with independent increments). Conditions are studied for moment and exponential identities (the wald identities) to hold true. The conditions obtained are, as examples show, close to minimal ones. 
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     author = {A. A. Novikov},
     title = {On discontinuous martingales},
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     volume = {20},
     number = {1},
     year = {1975},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1975_20_1_a1/}
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A. A. Novikov. On discontinuous martingales. Teoriâ veroâtnostej i ee primeneniâ, Tome 20 (1975) no. 1, pp. 13-28. http://geodesic.mathdoc.fr/item/TVP_1975_20_1_a1/