Piecewise constant local martingales with bounded numbers of jumps
Probability
2016-12-26 v1
Abstract
A piecewise constant local martingale with boundedly many jumps is a uniformly integrable martingale if and only if is integrable.
Keywords
Cite
@article{arxiv.1612.08038,
title = {Piecewise constant local martingales with bounded numbers of jumps},
author = {Johannes Ruf},
journal= {arXiv preprint arXiv:1612.08038},
year = {2016}
}