Sticky processes, local and true martingales
Mathematical Finance
2017-03-03 v3 Probability
Abstract
We prove that for a so-called sticky process there exists an equivalent probability and a -martingale that is arbitrarily close to in norm. For continuous , can be chosen arbitrarily close to in supremum norm. In the case where is a local martingale we may choose arbitrarily close to the original probability in the total variation norm. We provide examples to illustrate the power of our results and present applications in mathematical finance.
Cite
@article{arxiv.1509.08280,
title = {Sticky processes, local and true martingales},
author = {Miklós Rásonyi and Hasanjan Sayit},
journal= {arXiv preprint arXiv:1509.08280},
year = {2017}
}