Martingales on Random Sets and the Strong Martingale Property

  title={Martingales on Random Sets and the Strong Martingale Property},
  author={Michael J. Sharpe},
Let X be a process defined on an optional random set. The paper develops two different conditions on X guaranteeing that it is the restriction of a uniformly integrable martingale. In each case, it is supposed that X is the restriction to Λ of some special semimartingale Z with canonical decomposition Z = M + A. The first condition, which is both necessary and sufficient, is an absolute continuity condition on A. Under additional hypotheses, the existence of a martingale extension can be… CONTINUE READING

From This Paper

Topics from this paper.
1 Citations
5 References
Similar Papers


Publications citing this paper.


Publications referenced by this paper.
Showing 1-5 of 5 references

General Theory of Markov Processes

  • M. J. Sharpe
  • Academic Press, San Diego
  • 1988

Semimartingales in predictable random open sets, Séminaire de Probabilités XVI (Univ. Strasbourg)

  • W. A. Zheng
  • Lecture Notes in Math. 920,
  • 1982

Semi-Martingales et Grossissement d’une Filtration

  • T. Jeulin
  • Lecture Notes in Mathematics 833, Springer…
  • 1980

Une mise au point sur les martingales locales définies sur un intervalle stochastique, Séminaire de Probabilités XI (Univ. Strasbourg)

  • B. Maisonneuve
  • Lecture Notes in Math. 581,
  • 1977

Probabilités et Potentiel

  • C. Dellacherie, P.-A. Meyer
  • (2ième édition); Chapitres I–IV, Hermann, Paris
  • 1975
1 Excerpt

Similar Papers

Loading similar papers…