Choulli, Tahir; Schweizer, Martin - 2011
An equivalent sigma-martingale measure (EsigmaMM) for a given stochastic process S is a probability measure R … equivalent to the original measure P such that S is an R-sigma-martingale. Existence of an EsigmaMM is equivalent to a classical … only a local integrability requirement. sigma-martingale ; equivalent martingale measures ; Jacod decomposition …