Reflection principle and Ocone martingales

Let M=_(Mt)t≥0$M={\left(M_t\right)}_{t\ge 0}$ be any continuous real-valued stochastic process. We prove that if there exists a sequence _(an)n≥1${\left(a_n\right)}_{n\ge 1}$ of real numbers which converges to 0 and such that M$M$ satisfies the reflection property at all levels _an$a_n$ and 2_an$2a_n$ with n≥1$n\ge 1$, then M$M$ is an Ocone local martingale with respect to its natural filtration. We state the subsequent open question: is this result still true when the property only holds at levels _an$a_n$? We prove that this question is equivalent to the fact that for Brownian motion, the σ$\sigma$-field of the invariant events by all reflections at levels _an$a_n$, n≥1$n\ge 1$ is trivial. We establish similar results for skip free Z$\mathbb{Z}$-valued processes and use them for the proof in continuous time, via a discretization in space.