English

Sticky processes, local and true martingales

Mathematical Finance 2017-03-03 v3 Probability

Abstract

We prove that for a so-called sticky process SS there exists an equivalent probability QQ and a QQ-martingale S~\tilde{S} that is arbitrarily close to SS in Lp(Q)L^p(Q) norm. For continuous SS, S~\tilde{S} can be chosen arbitrarily close to SS in supremum norm. In the case where SS is a local martingale we may choose QQ 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}
}
R2 v1 2026-06-22T11:06:55.880Z