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- W2075475512 abstract "In a previous paper we proved 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. The aim of this paper is to study the following question: Can we choose $M geq 0$ whenever $X geq 0$? We also give a negative answer to Conjecture 7.1 of Harrison and Pliska." @default.
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- W2075475512 date "1990-04-01" @default.
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- W2075475512 title "Valeurs Prises par les Martingales Locales Positives Continues a un Instant Donne" @default.
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- W2075475512 doi "https://doi.org/10.1214/aop/1176990848" @default.
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