Let S be a local martingale with values in IRd, and let H be a d-dimensional predictable process, such that the stochastic integral H ? S does exist: if the process (H ? S)t is uniformly bounded from below by a constant (or, more in general, by an integrable random variable), then H ? S is a local martingale, hence a supermartingale.
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© 2007 Springer-VerlagBerlinHeidelberg
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Donno, M.D., Pratelli, M. (2007). On a Lemma by Ansel and Stricker. In: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C. (eds) Séminaire de Probabilités XL. Lecture Notes in Mathematics, vol 1899. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71189-6_22
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DOI: https://doi.org/10.1007/978-3-540-71189-6_22
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