Time-Changed Local Martingales Under Signed Measures

In this paper, we use stochastic integration in the framework of signed measures, together with the technique of time changes. Let Q be a bounded non-null signed measure on $$(\varOmega ,{\mathcal {F}}, {{P}}),$$ such that $$\left| Q\right| $$ and P are equivalent. In the first part of the paper, we generalize the results of stochastic calculus in Beghdadi-Sakrani (Seminaire de probabilites XXXVI, Springer, 2003) to Q-local martingales and we give some examples. In the second part, we prove that the class of Q-semimartingales is invariant under time changes. We establish the famous formulas of time-changed local martingales as well as the representation of a Q-local martingale as a time-changed Brownian motion.