The Annals of Probability

Valeurs Prises par les Martingales Locales Continues a un Instant Donne

M. Emery, C. Stricker, and J. A. Yan

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By extending ideas and methods of Dudley (1977) (who was dealing with the Brownian case), we prove that a necessary and sufficient condition for all martingales of a given filtration $(\mathscr{F}_t)$ to be continuous, is that, for every stopping time $T$ and every $\mathscr{F}_T$-measurable random variable $X$, there exists a continuous local martingale $M$ with $M_T = X$ a.s. Moreover, $M$ can be chosen such that $M_0 = 0$ on a reasonably large event (equal to $\{T > 0\}$ in the Brownian case); if there exists a Brownian motion $B$ adapted to $(\mathscr{F}_t), M$ can be chosen as a stochastic integral of some $(\mathscr{F}_t)$-predictable process with respect to $B$ (even when $(\mathscr{F}_t)$ is larger than the natural filtration of $B$).

Article information

Ann. Probab., Volume 11, Number 3 (1983), 635-641.

First available in Project Euclid: 19 April 2007

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Digital Object Identifier

Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier


Primary: 60G44: Martingales with continuous parameter
Secondary: 60H05: Stochastic integrals 60G07: General theory of processes

Local martingales stopping times predictable representation property stochastic integrals


Emery, M.; Stricker, C.; Yan, J. A. Valeurs Prises par les Martingales Locales Continues a un Instant Donne. Ann. Probab. 11 (1983), no. 3, 635--641. doi:10.1214/aop/1176993507.

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