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

DOI10.1007/978-3-0348-0021-1_9MaRDI QIDQ2904874zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(10)

• Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
• 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
• Strict local martingales: examples
• Implied volatility in strict local martingale models
• Ito's integrated formula for strict local martingales

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