Prove (without using the following Proposition!) that the process (left(int_{0}^{t} N_{s-} d M_{s}, t geq 0 ight))

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Prove (without using the following Proposition!) that the process \(\left(\int_{0}^{t} N_{s-} d M_{s}, t \geq 0\right)\) is a martingale, and that the process \(\int_{0}^{t} N_{s} d M_{s}\) is not a martingale.

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Mathematical Methods For Financial Markets

ISBN: 9781447125242

1st Edition

Authors: Monique Jeanblanc, Marc Yor, Marc Chesney

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