Characterising Ocone local martingales with reflections

Jean Brossard, Christophe Leuridan

Let $M=(M_t{)}_{t\ge 0}$ be any continuous real-valued stochastic process such that $M_0=0$. Chaumont and Vostrikova proved that if there exists a sequence $(a_n{)}_{n\ge 1}$ of po…