{
  "id": "1701.04025",
  "version": "v1",
  "published": "2017-01-15T10:38:33.000Z",
  "updated": "2017-01-15T10:38:33.000Z",
  "title": "Local martingales in discrete time",
  "authors": [
    "Vilmos Prokaj",
    "Johannes Ruf"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "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 ${d Q}/{d P} \\leq 1+\\varepsilon$.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-01-15T10:38:33.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "local martingale",
      "discrete time",
      "probability measure"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}