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XII: 02, 20-21, LNM 649 (1978)
STRICKER, Christophe
Une remarque sur les changements de temps et les martingales locales (Martingale theory)
It is well known (see 606) that in general the class of local martingales is not invariant under changes of time. Here it is shown that, if ${\cal F}_0$ is trivial, a process which remains a local martingale under all changes of time (with bounded stopping times) is a true martingale (in full generality, it is so conditionally to ${\cal F}_0$)
Keywords: Changes of time, Weak martingales
Nature: Original
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