Piecewise constant local martingales with bounded numbers of jumps

2016/12/23 by Ruf, Johannes
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1612.08038

Abstract

A piecewise constant local martingale M with boundedly many jumps is a uniformly integrable martingale if and only if M_∞^- is integrable.

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