We show that a continuous local martingale is a strict local martingale if its supremum process is not in Lα for a positive number α smaller than 1. Using this we construct a family of strict local martingales
For a wide class of local martingales (M-t) there is a default function, which is not identically ze...
For any positive diffusion with minimal regularity, there exists a semimartingale with uniformly clo...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
AbstractWe study strict local martingales via h-transforms, a method which first appeared in work by...
For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth fun...
University of Technology, Sydney. Faculty of Business.It is becoming increasingly clear that strict ...
This paper deals with asset price bubbles modeled by strict local martingales. With any strict local...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
In this thesis, we study the strict local martingale property of solutions of various types of stoch...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
© Institute of Mathematical Statistics, 2019. The following conditions are necessary and jointly suf...
It is often important, in applications of stochastic calculus to financial modelling, to know whethe...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
Itô’s integrated formula for strict local martingales with jumps. Oleksandr Chybiryakov∗ This note p...
For a wide class of local martingales (M-t) there is a default function, which is not identically ze...
For any positive diffusion with minimal regularity, there exists a semimartingale with uniformly clo...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
AbstractWe study strict local martingales via h-transforms, a method which first appeared in work by...
For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth fun...
University of Technology, Sydney. Faculty of Business.It is becoming increasingly clear that strict ...
This paper deals with asset price bubbles modeled by strict local martingales. With any strict local...
Many results in stochastic analysis and mathematical finance involve local martingales. However, spe...
In this thesis, we study the strict local martingale property of solutions of various types of stoch...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
© Institute of Mathematical Statistics, 2019. The following conditions are necessary and jointly suf...
It is often important, in applications of stochastic calculus to financial modelling, to know whethe...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
Itô’s integrated formula for strict local martingales with jumps. Oleksandr Chybiryakov∗ This note p...
For a wide class of local martingales (M-t) there is a default function, which is not identically ze...
For any positive diffusion with minimal regularity, there exists a semimartingale with uniformly clo...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
DOI
Add to ORKG