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 |
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| Official URL: | http://projecteuclid.org/info/euclid.ecp |
| Additional Information: | © 2017 The Author © CC BY 4.0 |
| Divisions: | Mathematics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 24 May 2017 13:54 |
| Last Modified: | 20 Jul 2021 02:37 |
| URI: | http://eprints.lse.ac.uk/id/eprint/78717 |
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