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Stochastic Calculus
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Stopped Martingale
L2
Stopped Martingale
Senior Quant · Stochastic Calculus
Question
Prove that a stopped martingale
M
t
τ
=
M
t
∧
τ
M^\tau_t = M_{t \wedge \tau}
M
t
τ
=
M
t
∧
τ
is a martingale. State the conditions on
τ
\tau
τ
required. Does the result hold for local martingales?
Show Answer
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