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

DOI10.1016/J.SPA.2015.04.002zbMATH Open1321.60086arXiv1501.05922OpenAlexW2070309987MaRDI QIDQ492941FDOQ492941

Authors: Johannes Ruf 

Publication date: 21 August 2015

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

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.

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

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zbMATH Keywords

martingalesstopping timesuniform integrability

Mathematics Subject Classification ID

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

Cites Work

• Multidimensional diffusion processes.
• Title not available (Why is that?)
• Some particular problems of martingale theory
• The exit measure of a supermartingale
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Cited In (5)

• Title not available (Why is that?)
• Weak tail conditions for local martingales
• A weak convergence criterion for constructing changes of measure
• A ‘NON-STOPPING’ TIME WITH THE OPTIONAL-STOPPING PROPERTY
• Single jump filtrations: preservation of the local martingale property with respect to the filtration generated by the local martingale

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