FIND ME ON

GitHub

LinkedIn

Martingale Equivalence for Stopping Times

🌱

Definition
StochasticDiffs

Let (Xt)t0(X_{t})_{t\ge 0} be right continuous and (Ft)t0(\mathcal{F}_{t})_{t\ge 0}-adapted. Then (Xt)t0 is (Ft)t0(X_{t})_{t\ge 0}\text{ is }(\mathcal{F}_{t})_{t\ge 0}-martingale if and only if \forall bounded (Ft)t0(\mathcal{F}_{t})_{t\ge 0}-stopping times TT: 1. XTL1(Ω,F,P)X_{T}\in\mathscr{L}^{1}(\Omega,\mathcal{F},P) 2. E[XT]=E[X0]E[X_{T}]=E[X_{0}]