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
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
Keywords:
continuous-time
,
discrete-time
,
local martingale
