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In discrete time a local martingale is a martingale under an equivalent probability measure

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References

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Authors and Affiliations

  1. Laboratoire de Mathématiques, Université de Franche-Comté, 16 Route de Gray, 25030, Besançon cedex, France

    Yuri Kabanov

  2. Central Economics and Mathematics Institute, Moscow, Russia

    Yuri Kabanov

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  1. Yuri Kabanov
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Correspondence to Yuri Kabanov.

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Kabanov, Y. In discrete time a local martingale is a martingale under an equivalent probability measure. Finance Stoch 12, 293–297 (2008). https://doi.org/10.1007/s00780-008-0063-y

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  • DOI: https://doi.org/10.1007/s00780-008-0063-y

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