Ruf, Johannes 
ORCID: 0000-0003-3616-2194
(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 |
|---|---|
| Official URL: | http://www.imstat.org/ecp/ |
| Additional Information: | © 2015 Institute of Mathematical Statistics |
| Divisions: | Mathematics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 11 Oct 2017 11:21 |
| Last Modified: | 01 Oct 2024 03:04 |
| URI: | http://eprints.lse.ac.uk/id/eprint/84585 |
Actions (login required)
 |
View Item |
