A visual criterion for identifying Itô diffusions as martingales or strict local martingales

DOI10.1007/978-3-0348-0021-1_9zbMATH Open1248.60095OpenAlexW1523236998MaRDI QIDQ2904874FDOQ2904874

Authors: Hardy Hulley, Eckhard Platen 

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/19061

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zbMATH Keywords

local martingalesdriftless stochastic differential equationstime-homogenous diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Transition functions, generators and resolvents (60J35) Boundary theory for Markov processes (60J50)

Cited In (10)

• On the martingale property of certain local martingales
• On the martingale property in stochastic volatility models based on time-homogeneous diffusions
• A remark on conditions that a diffusion in the natural scale is a martingale
• Weak tail conditions for local martingales
• Change of drift in one-dimensional diffusions
• A mathematical theory of financial bubbles
• Implied volatility in strict local martingale models
• Strict local martingales: examples
• Ito's integrated formula for strict local martingales
• Uniqueness in Cauchy problems for diffusive real-valued strict local martingales

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