Piecewise constant local martingales with bounded numbers of jumps

被引：0

作者：

Ruf, Johannes ^{[1
]}

机构：

[1] London Sch Econ & Polit Sci, Dept Math, London, England

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2017年 / 22卷

关键词：

local martingale; continuous-time; discrete-time;

D O I：

10.1214/17-ECP64

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A piecewise constant local martingale M with boundedly many jumps is a uniformly integrable martingale if and only if M 1 is integrable.

引用

页数：5

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