XI: 21, 356-361, LNM 581 (1977)
CHOU, Ching Sung
Le processus des sauts d'une martingale locale (
Martingale theory)
Simple necessary and sufficient conditions are given on an optional process $\sigma_t$ (different from $0$ only at countably many stopping times) so that it is the process of jumps $ėlta M_t$ of some local martingale $M$
Comment: The same result is proved independently by D. Lépingle in this volume, see
1129. For an application see
1308, and for another approach
1335Keywords: Local martingales,
JumpsNature: Original
Retrieve article from Numdam
