Analysis of continuous strict local martingales via \(h\)-transforms

DOI10.1016/J.SPA.2010.04.004zbMath1198.60020arXiv0711.1136OpenAlexW2014897999MaRDI QIDQ983170

Soumik Pal, Philip E. Protter

Publication date: 3 August 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.1136

zbMATH Keywords

local martingalefinancial bubblestrict local martingaleinverse Bessel process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

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