, We now construct a stochastic process Z that satisfies the assumptions of Step 3. Towards this end, for each i, let Z i denote the unique P-martingale such that dQ i /dP = Z i (T ), such as the one of Corollary 2.2 in Blanchet and Ruf, vol.4, 2003.
, ?1 1 {Z in (?n)>0} Z in
As zero is an absorbing state for S j under ?n is a, {S j (? n?1 ) ,
In this case, the proof of (b) is finished. However, under the more general condition in (b)(iv) it cannot be guaranteed that the P-martingale Z is strictly positive as it might jump to zero on n?N, Step 5B, we shall construct a family of strictly positive P-martingales (Y m ) m?{1,··· ,N +1} that satisfy the following two conditions: References Bielecki, pp.27-126, 2004. ,
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