Reflection principle and Ocone martingales

is an Ocone local martingale with respect to its natural filtration. We state the subsequent open question: is this result still true when the property only holds at levels

a_{n}

? Then we prove that the later question is equivalent to the fact that for Brownian motion, the

s i g m a

-field of the invariant events by all reflections at levels

a_{n}

,

n g e 1

is trivial. We establish similar results for skip free

m a t h b b Z

-valued processes and use them for the proof in continuous time, via a discretisation in space.

Review text

In the paper, the following result is proved. If there exists a sequence \((a_n)_{n \geq 1}\) of real numbers which converges to \(0\) and such that a continuous real-valued stochastic process \(M = (M_t)_{t \geq 0}\) satisfies the reflection property at all levels \(a_n\) and \(2a_n\) with \(n \geq 1\), then \(M\) is an Ocone martingale with respect to its natural filtration. It is shown that the question that this result is true when the property only holds at levels \(a_n\) is equivalent to the fact that for Brownian motion, the \(\sigma\)-field of the invariant events by all reflections at levels \(a_n\), \(n \geq 1\) is trivial. Similar results for skip free \(\mathbb Z\)-valued processes are established and used for the proof in continuous time, via a discretization in space.

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