A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales

DOI10.1007/978-3-0348-0021-1_9zbMath1248.60095OpenAlexW1523236998MaRDI QIDQ2904874

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

zbMATH Keywords

local martingalesdriftless stochastic differential equationstime-homogenous diffusion process

Mathematics Subject Classification ID

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

Related Items (9)

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Strict local martingales: examples ⋮ Weak tail conditions for local martingales ⋮ ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS ⋮ On the martingale property of certain local martingales ⋮ Implied Volatility in Strict Local Martingale Models ⋮ A remark on conditions that a diffusion in the natural scale is a martingale ⋮ Change of drift in one-dimensional diffusions ⋮ A Mathematical Theory of Financial Bubbles

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