Martingale property of generalized stochastic exponentials

DOI10.1007/978-3-642-27461-9_2zbMATH Open1254.60044arXiv1010.0969OpenAlexW3015829786MaRDI QIDQ2906154FDOQ2906154

Authors: Aleksandar Mijatović, Nika Novak, Mikhail Urusov 

Publication date: 29 August 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Abstract: For a real Borel measurable function b, which satisfies certain integrability conditions, it is possible to define a stochastic integral of the process b(Y) with respect to a Brownian motion W, where Y is a diffusion driven by W. It is well know that the stochastic exponential of this stochastic integral is a local martingale. In this paper we consider the case of an arbitrary Borel measurable function b where it may not be possible to define the stochastic integral of b(Y) directly. However the notion of the stochastic exponential can be generalized. We define a non-negative process Z, called generalized stochastic exponential, which is not necessarily a local martingale. Our main result gives deterministic necessary and sufficient conditions for Z to be a local, true or uniformly integrable martingale.

Full work available at URL: https://arxiv.org/abs/1010.0969

Recommendations

• On the martingale property of stochastic exponentials
• A new sufficient condition for uniform integrability of stochastic exponentials
• scientific article; zbMATH DE number 1195828
• scientific article; zbMATH DE number 2050997
• On the martingale property of certain local martingales

zbMATH Keywords

one-dimensional diffusionslocal martingalesgeneralized stochastic exponentialstrue martingales

Mathematics Subject Classification ID

Diffusion processes (60J60) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Cited In (9)

• On the martingale property of stochastic exponentials
• On the martingale property of certain local martingales
• Brownian super-exponents
• The finiteness of moments of a stochastic exponential.
• A note on a paper by Wong and Heyde
• Martingale property of empirical processes
• Stochastic exponentials and logarithms on stochastic intervals. A survey
• The martingale property in the context of stochastic differential equations
• An estimator for the recombination rate from a continuously observed diffusion of haplotype frequencies

This page was built for publication: Martingale property of generalized stochastic exponentials

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2906154)