Let $W$ be a standard Brownian motion under given probability space.
For a given constant $a$, $W^a$ is a truncated Brownian motion by stopping time
$T^a = \inf(t>0:W(t) = a)$. That is, $W^a(t) = W(t \wedge T^a)$.

We want to consider the following question: Is the process $W^1$ of the class DL?

(Solution1): Yes. Indeed, for any fixed $t>0$, we can prove the collection of random variables $( W(s), 0< s< t)$ is uniformly integrable by definition, since $E [|W^1(t)|] < \infty$.

We provide completely different answer using the following proposition from the Problem 1.5.19 (i) of Book [Karazas and Shereve 98].

[Proposition] A local martingale of class DL is martingale.

(Solution2): No. $W^1$ is strict local martingale, since $E [W^1(T^1)] = 1> E [W(0)]$. By [Proposition], $W^1$ is not of class DL.

In the above, we obtained completely two different solutions. Where is wrong?

notUI on $[0,\infty)$ (although $E[W^1(t)] < \infty$ for each $t$). – Nate Eldredge Jun 6 '10 at 0:23