%0 Journal Article
%T Sticky processes, local and true martingales
%A Mikl¨®s R¨˘sonyi
%A Hasanjan Sayit
%J Quantitative Finance
%D 2015
%I arXiv
%X We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p$ norm. For continuous $S$, $\tilde{S}$ 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 applications in mathematical finance.
%U http://arxiv.org/abs/1509.08280v1