Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 35 / 1 / a

Relative to a filtration satisfying the usual conditions, a local martingale is an adapted càdlàg process $X$ for which there exist increasing stopping times $S_n\uparrow \infty$ almost surely such that every stopped process $X_t^{S_n}=X_{t\wedge S_n}$ is an integrable martingale. Thus, for $s\le t$,The sequence is a localizing sequence. A continuous local martingale additionally has continuous sample paths. The usual definition entails integrability of the initial value; local martingales need not be integrable at later times without stopping.