Geodesic
When a stochastic exponential is a true martingale. Extension of the Bene\v{s} method
Teoriâ veroâtnostej i ee primeneniâ, Tome 58 (2013) no. 1, pp. 53-80

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Keywords: exponential martingale; diffusion process with jumps; Girsanov theorem; Beneš method. 
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     author = {F. Klebaner and R. Liptser},
     title = {When a stochastic exponential is a true martingale. {Extension} of the {Bene\v{s}} method},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {53--80},
     publisher = {mathdoc},
     volume = {58},
     number = {1},
     year = {2013},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2013_58_1_a4/}
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F. Klebaner; R. Liptser. When a stochastic exponential is a true martingale. Extension of the Bene\v{s} method. Teoriâ veroâtnostej i ee primeneniâ, Tome 58 (2013) no. 1, pp. 53-80. http://geodesic.mathdoc.fr/item/TVP_2013_58_1_a4/