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.

Link to Paper »

Authors

Johannes Ruf, others

Year

2015

Journal

Electronic Communications in Probability, (20).

Keywords

Complex networks, Complex Systems, Computational Finance, Computational Science, Computers and Society, and Data Science