The uniform integrability of martingales. On a question by Alexander Cherny

DOI10.1016/J.SPA.2015.04.002MaRDI QIDQ492941zbMATHOpenAlexFDO

Authors Johannes Ruf

Publication date 21 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.05922

zbMATH Keywords

martingalesstopping timesuniform integrability

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Abstract: Let $X$ be a progressively measurable, almost surely right-continuous stochastic process such that $X_{a}uin{L}^1$ and $E[X_{a}u]=E[X_0]$ for each finite stopping time $au$. In 2006, Cherny showed that $X$ is then a uniformly integrable martingale provided that $X$ is additionally nonnegative. Cherny then posed the question whether this implication also holds even if $X$ is not necessarily nonnegative. We provide an example that illustrates that this implication is wrong, in general. If, however, an additional integrability assumption is made on the limit inferior of $|X|$ then the implication holds. Finally, we argue that this integrability assumption holds if the stopping times are allowed to be randomized in a suitable sense.

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Cites work

• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
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Cited in

(5)

• scientific article; zbMATH DE number 4039060 (Why is no real title available?)
• Weak tail conditions for local martingales
• A ‘NON-STOPPING’ TIME WITH THE OPTIONAL-STOPPING PROPERTY
• A weak convergence criterion for constructing changes of measure
• Single jump filtrations: preservation of the local martingale property with respect to the filtration generated by the local martingale

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