Vilmos Prokaj, Johannes Ruf
Published 2017-01-15Version 1
For any discrete-time $P$-local martingale $S$ there exists a probability measure $Q \sim P$ such that $S$ is a $Q$-martingale. A new proof for this result is provided. This proof also yields that, for any $\varepsilon>0$, the measure $Q$ can be chosen so that ${d Q}/{d P} \leq 1+\varepsilon$.
Equivalence of two orthogonalities between probability measures
A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale
Construction of an Edwards' probability measure on $\mathcal{C}(\mathbb{R}_+,\mathbb{R})$
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