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An elementary approach to naturality, predictability, and the fundamental theorem of local martingales. (English) Zbl 0998.60041

Summary: We give non-technical proofs of the predictability of natural processes and the fundamental theorem of local martingales. Some arguments are shortened through a novel use of an elementary inequality known as “Chebyshev’s other inequality”.

MSC:

60G44 Martingales with continuous parameter
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