Abstract

Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ ∈ L1 and E[Xτ] = E[X0] for each finite stopping time τ. In 2006, Cherny showed that X is then a uniformly integrable martingale provided that X is additionally nonnegative. Cherny then posed the question whether this implication also holds even if X is not necessarily nonnegative. We provide an example that illustrates that this implication is wrong, in general. If, however, an additional integrability assumption is made on the limit inferior of |X| then the implication holds. Finally, we argue that this integrability assumption holds if the stopping times are allowed to be randomized in a suitable sense.
Key words: Stopping time; Uniform integrability AMS 2000 Subject Classifications: 60G44

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Authors

Johannes Ruf

Year

2015

Journal

Stochastic Processes and their Applications, (125)10, 3657–3662.

Keywords

Computation and Language, Computational Finance, Computational Science, Data Protection, and Economics