XIII: 10, 132-137, LNM 721 (1979)
SIDIBÉ, Ramatoulaye
Martingales locales à accroissements indépendants (
Martingale theory,
Independent increments)
It is shown here that a process with (stationary) independent increments which is a local martingale must be a true martingale
Comment: The case of non-stationary increments is considered in
1544. See also the errata sheet of vol. XV
Keywords: Local martingales,
Lévy processesNature: Original
Retrieve article from Numdam
XV: 44, 632-642, LNM 850 (1981)
SIDIBÉ, Ramatoulaye
Mesures à accroissements indépendants et P.A.I. non homogènes (
Independent increments)
This is an improved version of
1310: the classical theorem of Lévy on the structure of processes with independent increments is elegantly proved by martingale methods, in the non-homogeneous case, and it is proved that the process is a special semimartingale if and only if it is integrable
Nature: New proof of known results Retrieve article from Numdam
