Ruf, Johannes
(2015)
*The martingale property in the context of stochastic differential equations.*
Electronic Communications in Probability, 20 (34).
pp. 1-10.
ISSN 1083-589X

Identification Number: 10.1214/ECP.v20-3449

## Abstract

This 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.

Item Type: | Article |
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Official URL: | http://www.imstat.org/ecp/ |

Additional Information: | © 2015 Institute of Mathematical Statistics |

Divisions: | Mathematics |

Subjects: | Q Science > QA Mathematics |

Sets: | Departments > Mathematics |

Date Deposited: | 11 Oct 2017 11:21 |

Last Modified: | 20 Mar 2019 02:48 |

URI: | http://eprints.lse.ac.uk/id/eprint/84585 |

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