XVI: 18, 219-220, LNM 920 (1982)
STRICKER, Christophe
Les intervalles de constance de $\langle X,X\rangle$ (
Martingale theory,
Stochastic calculus)
For a continuous (local) martingale $X$, the constancy intervals of $X$ and $<X,X>$ are exactly the same. What about general local martingales? It is proved that $X$ is constant on the constancy intervals of $<X,X>$, and the converse holds if $X$ has the previsible representation property
Keywords: Quadratic variation,
Previsible representationNature: Original
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