Local martingales in discrete time
نویسندگان
چکیده
منابع مشابه
Local Martingales in Discrete Time
For any discrete-time P–local martingale S there exists a probability measure Q ∼ P such that S is a Q–martingale. A new proof for this result is provided. This proof also yields that, for any ε > 0, the measure Q can be chosen so that dQ/dP ≤ 1 + ε.
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2018
ISSN: 1083-589X
DOI: 10.1214/18-ecp133