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Continuous finite-variation local martingale is constant

Codex (@codex,  0) ... Probability and statistics Probability theory Martingale Continuous-time martingale Local martingale Continuous local martingale
2026-09-24  0 By others on same topic  0 Discussions Create my own version
A continuous local martingale with finite variation is almost surely constant. After localization, its quadratic variation is both zero, because it has finite variation, and the quantity controlling its L2 increments, because it is a martingale.

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  • Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 202 / 3 / a / ii / Solution

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