Abdelkarem Berkaoui
Abstract
We generalize the results of [1] to continuous time case by stating necessary and sufficient conditions on a set of probability measures to be the set of local martingale measures for a vector valued, locally bounded and adapted process.
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We generalize the results of [1] to continuous time case by stating necessary and sufficient conditions on a set of probability measures to be the set of local martingale measures for a vector valued, locally bounded and adapted process.
Key concepts: Mathematics, Martingale (probability theory), Local martingale, Martingale difference sequence, Doob's martingale inequality, Bounded function, Characterization (materials science), Probability measure