Probability theory and stochastic processes Martingales Concept
Local martingale
Summary
A local martingale is a process that becomes a martingale when it is stopped at suitable stopping times that increase to infinity. Every martingale is a local martingale, but not conversely. Stochastic integrals with respect to Brownian motion are local martingales, which is why the notion is central in Itô calculus.
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About this page
| Tag | XC2YPC2BSW |
|---|---|
| URI | m2://XC2YPC2BSW |
| Kind | concept |
| Writing | W0 stub |
| MSC | 60G44, 60G48 |
| Specializes | Stochastic process |
| Same as | |
| Changed | 2 November 2026 |
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