Sticky processes, local and true martingales

Miklós Rásonyi*, Hasanjan Sayit

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


We prove that for a so-called sticky process S there exists an equivalent probability Q and a Q-martingale S that is arbitrarily close to S in Lp(Q) norm. For continuous S, S can be chosen arbitrarily close to S in supremum norm. In the case where S is a local martingale we may choose Q arbitrarily close to the original probability in the total variation norm. We provide examples to illustrate the power of our results and present an application in mathematical finance.

Original languageEnglish
Pages (from-to)2429-2460
Number of pages32
Issue number4A
Publication statusPublished - Nov 2018
Externally publishedYes


  • Consistent price systems
  • Illiquid markets
  • Martingales
  • Processes with jumps
  • Sticky processes


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