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Thread: Continuous Local Martingale Question

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    Continuous Local Martingale Question (involving expected values)




    I have attempted the following local martingale question. I'm not sure if the proof is correct.

    If M is in the space of continuous local martingales, and is a stopping time of the following filtration ,then where

    (just to clarify the notation reads min of t and the stopping time p)

    (Fatou's lemma)

    (seen many textbooks apply this step without explaining why, perhaps they have used a condition not used in this question)

    (monotone convergence)

    Source of Q: Karaztas and Shreve, Brownian Motion and Calculus, Problem 5.19

    http://books.google.com.au/books?id=...ingale&f=false
    Last edited by chrishello; 03-26-2014 at 08:32 AM.

  2. #2
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    Re: Continuous Local Martingale Question

    Sorry cannot read the whole question. Please check the attached image.

    Besides the resolution of the solution image is a bit low to me.

    For both parts you may consider using math tags here to type the information with LaTeX syntax.

  3. #3
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    Re: Continuous Local Martingale Question


    Hi BGM, I just transformed the question and answer into Latex syntax as you suggested.

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