Necessary and sufficient conditions for the r-excessive local martingales to be martingales

DOI10.1214/17-ECP42zbMATH Open1357.60045arXiv1612.08387OpenAlexW2564235764MaRDI QIDQ507787FDOQ507787

Authors: Mihail Zervos, Mikhail Urusov 

Publication date: 7 February 2017

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We consider the decreasing and the increasing $r$-excessive functions $varph{i}_r$ and $ps{i}_r$ that are associated with a one-dimensional conservative regular continuous strong Markov process $X$ with values in an interval with endpoints $$. We prove that the $r$-excessive local martingale $$ $$resp., $$ is a strict local martingale if the boundary point $alpha$ (resp., $$) is inaccessible and entrance, and a martingale otherwise.

Full work available at URL: https://arxiv.org/abs/1612.08387

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zbMATH Keywords

local martingales\(r\)-excessive functionsstrong Markov processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Generalizations of martingales (60G48) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44)

Cited In (2)

• On the Feller-Dynkin and the martingale property of one-dimensional diffusions
• Uniqueness in Cauchy problems for diffusive real-valued strict local martingales

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