Reflection principle and Ocone martingales

Abstract

Let $M=(M_t{)}_{t\ge 0}$ be any continuous real-valued stochastic process. We prove that if there exists a sequence $(a_n{)}_{n\ge 1}$ of real numbers which converges to 0 and such that $M$ satisfies the reflection property at all levels $a_n$ and $2a_n$ with $n\ge 1$, then $M$ is an Ocone local martingale with respect to its natural filtration. We state the subsequent open question: is this result still true when the property only holds at levels $a_n$? Then we prove that the later question is equivalent to the fact that for Brownian motion, the $\sigma$-field of the invariant events by all reflections at levels $a_n$, $n\ge 1$ is trivial. We establish similar results for skip free $\mathbb{Z}$-valued processes and use them for the proof in continuous time, via a discretisation in space.