0] [LAMBDA](s)C(s)ds is also locally integrable Martingale under a real world probability measure P.
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Obviously there is an easy connection between the two martingales.
We turn to the fundamental question in which domain of the complex plane the martingales converge a.
The following Theorem treats convergence of the martingales in the remaining case.
Uniform convergence of martingales in the branching random walk.
Addititive martingales and probability tilting for homogeneous fragmentations, http://www.
A Criterion for Uniform Integrability of Exponential Martingales, Tohoku Mathematical Journal, 34:495-498, 1982.
It is well-known that the proof of the Girsanov Theorem involves the local martingale theory.
Keywords: Girsanov theorem, martingale, local martingale, exponential processes, Schwarz's inequality.
2][0, T]) is a martingale, then the process given by