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I am not sure if the following is true or not:

"A non-negative uniformly integrable continuous local martingale is a (true) martingale."

Is this statement true? Or can someone give a counter-example?

Protawn
  • 602

1 Answers1

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Found the answer to my question in a previous answer to a different question I got: Uniformly integrable local martingale

The answer is no.

Protawn
  • 602