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Published in:
1993 | OriginalPaper | Chapter
A Symmetry Characterization of Conditionally Independent Increment Martingales
Author : Daniel L. Ocone
Published in: Barcelona Seminar on Stochastic Analysis
Publisher: Birkhäuser Basel
Included in: Professional Book Archive
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We show that a càdlàg, local martingale has conditionally independent increments and symmetric jumps if and only if its law is invariant under integral transformations which preserve quadratic variation.