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
Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ ...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
AbstractWe investigate integral functionals Tt=∫RLY(t,a)m(da), t≥0, where m is a nonnegative measure...
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 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...
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...
It is often important, in applications of stochastic calculus to financial modelling, to know whethe...
Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ∈...
Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ ...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
AbstractWe investigate integral functionals Tt=∫RLY(t,a)m(da), t≥0, where m is a nonnegative measure...
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 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...
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...
It is often important, in applications of stochastic calculus to financial modelling, to know whethe...
Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ∈...
Let X be a progressively measurable, almost surely right-continuous stochastic process such that Xτ ...
We show that a continuous local martingale is a strict local martingale if its supremum process is n...
AbstractWe investigate integral functionals Tt=∫RLY(t,a)m(da), t≥0, where m is a nonnegative measure...