Sticky processes, local and true martingales∗
نویسندگان
چکیده
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 the power of our results and present an application in mathematical finance.
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