Valeurs Prises par les Martingales Locales Continues a un Instant Donne
Emery, M. ; Stricker, C. ; Yan, J. A.
Ann. Probab., Tome 11 (1983) no. 4, p. 635-641 / Harvested from Project Euclid
By extending ideas and methods of Dudley (1977) (who was dealing with the Brownian case), we prove that a necessary and sufficient condition for all martingales of a given filtration $(\mathscr{F}_t)$ to be continuous, is that, for every stopping time $T$ and every $\mathscr{F}_T$-measurable random variable $X$, there exists a continuous local martingale $M$ with $M_T = X$ a.s. Moreover, $M$ can be chosen such that $M_0 = 0$ on a reasonably large event (equal to $\{T > 0\}$ in the Brownian case); if there exists a Brownian motion $B$ adapted to $(\mathscr{F}_t), M$ can be chosen as a stochastic integral of some $(\mathscr{F}_t)$-predictable process with respect to $B$ (even when $(\mathscr{F}_t)$ is larger than the natural filtration of $B$).
Publié le : 1983-08-14
Classification:  Local martingales,  stopping times,  predictable representation property,  stochastic integrals,  60G44,  60H05,  60G07
@article{1176993507,
     author = {Emery, M. and Stricker, C. and Yan, J. A.},
     title = {Valeurs Prises par les Martingales Locales Continues a un Instant Donne},
     journal = {Ann. Probab.},
     volume = {11},
     number = {4},
     year = {1983},
     pages = { 635-641},
     language = {fr},
     url = {http://dml.mathdoc.fr/item/1176993507}
}
Emery, M.; Stricker, C.; Yan, J. A. Valeurs Prises par les Martingales Locales Continues a un Instant Donne. Ann. Probab., Tome 11 (1983) no. 4, pp.  635-641. http://gdmltest.u-ga.fr/item/1176993507/