Martingale property of generalized stochastic exponentials

DOI10.1007/978-3-642-27461-9_2MaRDI QIDQ2906154zbMATH OpenOpenAlexFDO

Authors Aleksandar Mijatović, Nika Novak, Mikhail Urusov

Publication date 29 August 2012

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

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

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)

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.

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Cited in

(9)

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

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