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.
Johannes Ruf, others
Electronic Communications in Probability, (20).
Complex networks, Complex Systems, Computational Finance, Computational Science, Computers and Society, and Data Science