On the martingale property of certain local martingales

DOI10.1007/s00440-010-0314-7zbMath1243.60038arXiv0905.3701OpenAlexW2003850034MaRDI QIDQ664349

Aleksandar Mijatović, Mikhail A. Urusov

Publication date: 1 March 2012

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.3701

zbMATH Keywords

one-dimensional diffusionsfinancial bubblesLocal martingales versus true martingalesseparating times

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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Uses Software

• Mathematica

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