Piecewise constant local martingales with bounded numbers of jumps

Ruf, JohannesORCID logo (2017) Piecewise constant local martingales with bounded numbers of jumps Electronic Communications in Probability, 22 (31). ISSN 1083-589X
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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
Keywords local martingale,continuous-time,discrete time
Departments Mathematics
DOI 10.1214/17-ECP64
Date Deposited 24 May 2017 13:54
URI https://researchonline.lse.ac.uk/id/eprint/78717

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