Characterising Ocone Local Martingales with Reflections

@inproceedings{Brossard2013CharacterisingOL,
  title={Characterising Ocone Local Martingales with Reflections},
  author={Jean Brossard and Christophe Leuridan},
  year={2013}
}
Let M = (M t ) t ≥ 0 be any continuous real-valued stochastic process such that M 0 = 0. Chaumont and Vostrikova proved that if there exists a sequence (a n ) n ≥ 1 of positive real numbers converging to 0 such that M satisfies the reflection principle at levels 0, a n and 2a n , for each n ≥ 1, then M is an Ocone local martingale. They also asked whether the reflection principle at levels 0 and a n only (for each n ≥ 1) is sufficient to ensure that M is an Ocone local martingale. We give a… 

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