Abstract
We study some properties of the class \mathcal{U} of laws of a continuous local martingale which is determined by the law of its quadratic variation, and we give a `simple' characterization of this class.
Citation
Samia Beghdadi-Sakrani. "The uniqueness class of continuous local martingales." Bernoulli 8 (2) 207 - 217, April 2002.
Information
Published: April 2002
First available in Project Euclid: 9 March 2004
zbMATH: 1004.60041
MathSciNet: MR2003C:60075
Keywords:
Ocone martingale
,
uniqueness class
Rights: Copyright © 2002 Bernoulli Society for Mathematical Statistics and Probability