Reflection principle and Ocone martingales

DOI10.1016/J.SPA.2009.07.009zbMATH Open1185.60044arXiv0807.3816OpenAlexW2593386172MaRDI QIDQ734669FDOQ734669

Authors: Loïc Chaumont, Lioudmila Vostrikova 

Publication date: 13 October 2009

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

Abstract: Let $M=(M_t{)}_{tgeq0}$ be any continuous real-valued stochastic process. We prove that if there exists a sequence $(a_n{)}_{ngeq1}$ of real numbers which converges to 0 and such that $M$ satisfies the reflection property at all levels $a_n$ and $2a_n$ with $ngeq1$, then $M$ 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 $sigma$-field of the invariant events by all reflections at levels $a_n$, $nge1$ is trivial. We establish similar results for skip free $mathbbZ$-valued processes and use them for the proof in continuous time, via a discretisation in space.

Full work available at URL: https://arxiv.org/abs/0807.3816

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zbMATH Keywords

quadratic variationreflection principleDambis-Dubins-Schwarz Brownian motionOcone martingaleskip free process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Brownian motion (60J65) Martingales with continuous parameter (60G44)

Cites Work

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Cited In (3)

• A transitivity property of Ocone martingales
• Symmetric martingales and symmetric smiles
• Characterising Ocone local martingales with reflections

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