In probability theory, Novikov's condition is the sufficient condition for a stochastic process which takes the form of the Radon–Nikodym derivative in Girsanov's theorem to be a martingale.
Novikov's condition in probability theory provides the necessary and sufficient conditions for a stochastic process, which can be expressed as the Radon–Nikodym derivative in Girsanov's theorem, to meet the criteria of being a martingale.