Ruf, J;
(2015)
The martingale property in the context of stochastic differential equations.
Electronic Communications in Probability
, 20
, Article 34. 10.1214/ECP.v20-3449.
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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.
| Type: | Article |
|---|---|
| Title: | The martingale property in the context of stochastic differential equations |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1214/ECP.v20-3449 |
| Publisher version: | http://dx.doi.org/10.1214/ECP.v20-3449 |
| Language: | English |
| Additional information: | This work is licensed under a Creative Commons Attribution 3.0 License (http://creativecommons.org/licenses/by/3.0/). |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1467162 |
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