Reflection principle and Ocone martingales

DOI10.1016/J.SPA.2009.07.009MaRDI QIDQ734669zbMATH OpenOpenAlexFDO

Authors Loïc Chaumont, Lioudmila Vostrikova

Publication date 13 October 2009

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

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 432961 (Why is no real title available?)
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Cited in

(3)

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

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