Simple examples of pure-jump strict local martingales

DOI10.1016/j.spa.2015.06.003zbMath1336.60085arXiv1405.2669OpenAlexW1604598364MaRDI QIDQ491181

Martin Keller-Ressel

Publication date: 24 August 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.2669

zbMATH Keywords

generalized Riccati equationaffine processesself-exciting processesstrict local martingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

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