Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

Simple Question:

If a process $X$ is a local martingale, can I immediately use the martingale property of

$$\mathbb{E}\left(X(t)|\mathcal{F}_s\right) = X(s)$$

because a local martingale is a driftless process? In the text I have, the Kazamaki or Novikov criterion is first proved before the above property is used, but is it necessary? If so, why?

Thanks for any help provided

share|improve this question
2  
see example 1 at en.wikipedia.org/wiki/Local_martingale in this case $X_t = -1 , t > 1$ –  mike Jul 18 '12 at 23:14
add comment

Know someone who can answer? Share a link to this question via email, Google+, Twitter, or Facebook.

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.