Stochastic Integration
نویسنده
چکیده
is a martingale w.r.t. {Ft∧Tn : t ≥ 0}. The stopping times {Tn} are said to reduce X . Remarks: 1. I brooded over why we set XT t = 0 in the definition, and this is the only explanation I could find: If we defined X t = XT∧t on {T ≥ 0}, thenXT 0 = X0, so according to the above definition of a local martingale,X T t a martingale implies E[XT 0 ] = E[X0] <∞. So, with the above definition of XT t , X0 has to be integrable.
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تاریخ انتشار 2008