Add to ORKGThis note studies the martingale property of a nonnegative, continuous local martingale Z, given as a nonanticipative functional of a solution to a stochastic differential equation. The condition states that Z is a (uniformly integrable) martingale if and only if an integral test of a related functional holds
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
For a real Borel measurable function b, which satisfies certain integrability conditions, it is poss...
The following conditions are necessary and jointly sufficient for an arbitrary c`adl`ag local martin...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
This note proves the existence of a solution to a certain martingale problem and relates the martin-...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
© Institute of Mathematical Statistics, 2019. The following conditions are necessary and jointly suf...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
In this thesis, we study the strict local martingale property of solutions of various types of stoch...
The following conditions are necessary and jointly sufficient for an arbitrary c`adl`ag local martin...
The following conditions are necessary and jointly sufficient for an arbitrary c`adl`ag local martin...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
For a real Borel measurable function b, which satisfies certain integrability conditions, it is poss...
The following conditions are necessary and jointly sufficient for an arbitrary c`adl`ag local martin...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
The martingale property in the context of stochastic differential equations Johannes Ruf* This note ...
This note proves the existence of a solution to a certain martingale problem and relates the martin-...
The stochastic exponential Zt=expMt−M0−(12)MMt of a continuous local martingale M is itself a conti...
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) _t\}$ of a continuous local martingale $M$ is it...
© Institute of Mathematical Statistics, 2019. The following conditions are necessary and jointly suf...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
AbstractThis paper provides a novel proof for the sufficiency of certain well-known criteria that gu...
In this thesis, we study the strict local martingale property of solutions of various types of stoch...
The following conditions are necessary and jointly sufficient for an arbitrary c`adl`ag local martin...
The following conditions are necessary and jointly sufficient for an arbitrary c`adl`ag local martin...
We present a necessary and sufficient condition for a stochastic exponential to be a true martingale...
For a real Borel measurable function b, which satisfies certain integrability conditions, it is poss...
The following conditions are necessary and jointly sufficient for an arbitrary c`adl`ag local martin...