On the submartingale/supermartingale property of diffusions in natural scale

DOI10.1134/S0081543814080082zbMath1322.60161MaRDI QIDQ492171

Mihail Zervos, Mikhail A. Urusov, Alexander A. Gushchin

Publication date: 20 August 2015

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

zbMATH Keywords

supermartingalesone-dimensional diffusionssubmartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Diffusion processes (60J60)

Related Items (4)

Wasserstein convergence rates for random bit approximations of continuous Markov processes ⋮ Implied Volatility in Strict Local Martingale Models ⋮ A remark on conditions that a diffusion in the natural scale is a martingale ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion

Cites Work

• Convergence of integral functionals of one-dimensional diffusions
• No arbitrage condition for positive diffusion price processes
• Diffusion processes and their sample paths.
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