XIII: 22, 250-252, LNM 721 (1979)
CHOU, Ching Sung
Caractérisation d'une classe de semimartingales (Martingale theory, Stochastic calculus)
The class of semimartingales $X$ such that the stochastic integral $J\,.\,X$ is a martingale for some nowhere vanishing previsible process $J$ is a natural class of martingale-like processes. Local martingales are exactly the members of this class which are special semimartingales
Comment: This class has found recently a natural use in mathematical finance (Delbaen-Schachermayer 1997)
Keywords: Local martingales, Stochastic integrals
Nature: Original
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