Strict local martingales: examples

DOI10.1016/j.spl.2017.04.025zbMath1386.60159arXiv1609.00935OpenAlexW2517153533MaRDI QIDQ1687193

Xue-Mei Li

Publication date: 22 December 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.00935

zbMATH Keywords

oscillationsexamplesstrict local martingalessmall moments

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Foundations of stochastic processes (60G05)

Related Items (1)

Strict local martingales and the Khasminskii test for explosions

Cites Work

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• A Mathematical Theory of Financial Bubbles
• A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Quasi-Martingales.

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