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Piecewise constant local martingales with bounded numbers of jumps

Ruf, Johannes (2017) Piecewise constant local martingales with bounded numbers of jumps. Electronic Communications in Probability, 22 (31). ISSN 1083-589X

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Identification Number: 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−∞ is integrable.

Item Type: Article
Official URL: http://projecteuclid.org/info/euclid.ecp
Additional Information: © 2017 The Author © CC BY 4.0
Divisions: Mathematics
Subjects: Q Science > QA Mathematics
Sets: Departments > Mathematics
Date Deposited: 24 May 2017 13:54
Last Modified: 20 Jan 2020 06:31
URI: http://eprints.lse.ac.uk/id/eprint/78717

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