Piecewise constant local martingales with bounded numbers of jumps
classification
🧮 math.PR
keywords
constantintegrablejumpslocalmartingalepiecewiseboundedboundedly
read the original abstract
A piecewise constant local martingale $M$ with boundedly many jumps is a uniformly integrable martingale if and only if $M_\infty^-$ is integrable.
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