Reflection principle and Ocone martingales.

Abstract : Let $M =(M_t)_{t\geq 0}$ be any continuous real-valued stochastic process. We prove that if there exists a sequence $(a_n)_{n\geq 1}$ of real numbers which converges to 0 and such that $M$ satisfies the reflection property at all levels $a_n$ and $2a_n$ with $n\geq 1$, then $M$ is an Ocone local martingale with respect to its natural filtration. We state the subsequent open question: is this result still true when the property only holds at levels $a_n$~? Then we prove that the later question is equivalent to the fact that for Brownian motion, the $\sigma$-field of the invariant events by all reflections at levels $a_n$, $n\ge1$ is trivial. We establish similar results for skip free $\mathbb{Z}$-valued processes and use them for the proof in continuous time, via a discretisation in space.
Keywords :
Type de document :
Pré-publication, Document de travail
2008
Domaine :

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https://hal.archives-ouvertes.fr/hal-00305333
Contributeur : Loïc Chaumont <>
Soumis le : mercredi 23 juillet 2008 - 23:29:54
Dernière modification le : lundi 5 février 2018 - 15:00:03
Document(s) archivé(s) le : samedi 26 novembre 2016 - 00:02:48

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• HAL Id : hal-00305333, version 1
• ARXIV : 0807.3816

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Loïc Chaumont, L. Vostrikova. Reflection principle and Ocone martingales.. 2008. 〈hal-00305333〉

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