Martingale criterion (continuous time)

Theorem 1.

Let $X$ be a local martingale. Then $X$ is a continuous martingale iff the set $\mathrm{\{}{X}_{\tau }\mathrm{:}\tau \mathit{}\mathit{\text{stopping time}}\mathrm{,}\tau \mathrm{\le }c\mathrm{\}}$ is uniformly integrable for each $c\mathrm{\ge }\mathrm{0}$.

Title	Martingale criterion (continuous time)
Canonical name	MartingaleCriterioncontinuousTime
Date of creation	2013-03-22 18:54:26
Last modified on	2013-03-22 18:54:26
Owner	karstenb (16623)
Last modified by	karstenb (16623)
Numerical id	4
Author	karstenb (16623)
Entry type	Theorem
Classification	msc 60G07
Classification	msc 60G48