The Fatou lemma makes every time value of a nonnegative discrete-time local martingale integrable, assuming the usual integrable initial value. The integrable discrete-time result then makes it a true martingale.

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  1. Integrable discrete-time local martingale is a martingale
  2. Local martingale
  3. Continuous-time martingale
  4. Martingale
  5. Probability theory
  6. Probability and statistics
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