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2019 Martingale spaces and representations under absolutely continuous changes of probability
Anna Aksamit, Claudio Fontana
Electron. Commun. Probab. 24: 1-13 (2019). DOI: 10.1214/19-ECP253

Abstract

In a fully general setting, we study the relation between martingale spaces under two locally absolutely continuous probabilities and prove that the martingale representation property (MRP) is always stable under locally absolutely continuous changes of probability. Our approach relies on minimal requirements, is constructive and, as shown by a simple example, enables us to study situations which cannot be covered by the existing theory.

Citation

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Anna Aksamit. Claudio Fontana. "Martingale spaces and representations under absolutely continuous changes of probability." Electron. Commun. Probab. 24 1 - 13, 2019. https://doi.org/10.1214/19-ECP253

Information

Received: 28 October 2018; Accepted: 25 June 2019; Published: 2019
First available in Project Euclid: 8 October 2019

zbMATH: 07126977
MathSciNet: MR4017136
Digital Object Identifier: 10.1214/19-ECP253

Subjects:
Primary: 60G07, 60G44, 60H05

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