Sticky processes, local and true martingales
نویسندگان
چکیده
منابع مشابه
Sticky processes, local and true martingales∗
We prove that for a so-called sticky process S there exists an equivalent probability Q and a Q-martingale S̃ that is arbitrarily close to S in L(Q) norm. For continuous S, S̃ can be chosen arbitrarily close to S in supremum norm. In the case where S is a local martingale we may choose Q arbitrarily close to the original probability in the total variation norm. We provide examples to illustrate t...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2018
ISSN: 1350-7265
DOI: 10.3150/17-bej944