Measure changes with extinction
Abstract
Description
We consider a change of measure by a martingale $Z_t$ and clarify that in general $1/Z_t$ is only a supermartingale under the changed measure. We then give a necessary and sufficient condition for the event that the limit of the martingale is zero to coincide with the event that the martingale hits zero in finite time (up to a set of zero probability).
6 pages; corrected typo, shortened proof of Theorem 6
6 pages; corrected typo, shortened proof of Theorem 6