Martingales on Random Sets and the Strong Martingale Property

Abstract

Let $X$ be a process defined on an optional random set. The paper develops two different conditions on $X$ guaranteeing that it is the restriction of a uniformly integrable martingale. In each case, it is supposed that $X$ is the restriction of some special semimartingale $Z$ with canonical decomposition $Z=M+A$. The first condition, which is both necessary and sufficient, is an absolute continuity condition on $A$. Under additional hypotheses, the existence of a martingale extension can be characterized by a strong martingale property of $X$. Uniqueness of the extension is also considered.