Martingale criterion (continuous time)

Theorem 1.

Let X be a local martingalePlanetmathPlanetmath. Then X is a continuousMathworldPlanetmath martingaleMathworldPlanetmath iff the set {Xτ:τstopping  time,τc} is uniformly integrable for each c0.

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