I have some problems with the martingale property of a stochastic integral with respect to a continuous local martingale M. I know that if $X \in L^2(d[M])$
then $$ \int XdM$$ is a local martingale.
I wanted to know under which assumptions on X or M this integral is a proper martingale.
2026-02-22 23:11:38.1771801898
Martingale property of a stochastic integral w.r.t. a local martingale.
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