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 martingalesNature: Original
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