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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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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