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2017 Piecewise constant local martingales with bounded numbers of jumps
Johannes Ruf
Electron. Commun. Probab. 22: 1-5 (2017). DOI: 10.1214/17-ECP64

Abstract

A piecewise constant local martingale $M$ with boundedly many jumps is a uniformly integrable martingale if and only if $M_\infty ^-$ is integrable.

Citation

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Johannes Ruf. "Piecewise constant local martingales with bounded numbers of jumps." Electron. Commun. Probab. 22 1 - 5, 2017. https://doi.org/10.1214/17-ECP64

Information

Received: 23 December 2016; Accepted: 23 May 2017; Published: 2017
First available in Project Euclid: 1 June 2017

zbMATH: 1365.60044
MathSciNet: MR3663102
Digital Object Identifier: 10.1214/17-ECP64

Subjects:
Primary: 60G42, 60G44

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