On the Existence of Optional Modifications for Martingales

DOI10.1137/1122068MaRDI QIDQ4181039zbMATH OpenOpenAlexFDO

Authors L. Galtchouk

Publication date 1977

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1122068

zbMATH Keywords

MartingaleOptional Modification

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Martingales with continuous parameter (60G44)

Cited in

(9)

• The martingales of an independent increment process
• On linear stochastic equations of optional semimartingales and their applications
• A comparison theorem for stochastic equations of optional semimartingales
• Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition
• On comparison theorem for optional SDEs via local times and applications
• Optional decomposition of optional supermartingales and applications to filtering and finance
• Optional strong semimartingale inequalities for the strong Snell envelopes
• Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by optional semimartingales
• Criteria for what makes a local optional martingale a true martingale

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