Document Zbl 1365.60044

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Piecewise constant local martingales with bounded numbers of jumps. (English) Zbl 1365.60044

Electron. Commun. Probab. 22, Paper No. 31, 5 p. (2017).

Summary: A piecewise constant local martingale \(M\) with boundedly many jumps is a uniformly integrable martingale if and only if \(M_\infty^-\) is integrable.

MSC:

60G42	Martingales with discrete parameter
60G44	Martingales with continuous parameter
60G48	Generalizations of martingales

Keywords:

local martingale; discrete-time martingale; continuous-time martingale

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