Let (left(N_{t}, mathscr{F}_{t}ight)_{t geqslant 0}) be a continuous local martingale. Show that (tau_{n}:=left{s geqslant 0:left|N_{t}ight| geqslant night})

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Let $\left(N_{t}, \mathscr{F}_{t}ight)_{t \geqslant 0}$ be a continuous local martingale. Show that $\tau_{n}:=\left\{s \geqslant 0:\left|N_{t}ight| \geqslant night\}$ is a localizing sequence which makes $N_{t \wedge \tau_{n}}$ bounded.

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

ISBN: 9783110741254

3rd Edition

Authors: René L. Schilling, Björn Böttcher

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Question Posted: Mar 17, 2024 01:00 AM

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Let (left(N_{t}, mathscr{F}_{t}ight)_{t geqslant 0}) be a continuous local martingale. Show that (tau_{n}:=left{s geqslant 0:left|N_{t}ight| geqslant night})

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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