Simple examples of pure-jump strict local martingales

DOI10.1016/j.spa.2015.06.003zbMath1336.60085arXiv1405.2669MaRDI QIDQ491181

Martin Keller-Ressel

Publication date: 24 August 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.2669

zbMATH Keywords

generalized Riccati equation; affine processes; self-exciting processes; strict local martingales

Mathematics Subject Classification ID

60G48: Generalizations of martingales

60G44: Martingales with continuous parameter

Related Items

STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT, Strict local martingales and the Khasminskii test for explosions

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