On exponential local martingales associated with strong Markov continuous local martingales

DOI10.1016/j.spa.2009.03.003zbMath1192.60068OpenAlexW2038862691MaRDI QIDQ841482

Stefan Blei, Hans-Jürgen Engelbert

Publication date: 17 September 2009

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

Full work available at URL: https://doi.org/10.1016/j.spa.2009.03.003

zbMATH Keywords

integral functionalsBrownian motionstochastic differential equationsBrownian motion with driftstochastic exponentialscontinuous strong Markov processes0-1-lawscontinuous exponential local martingalescontinuous local martingalesmartingale property of stochastic exponentials

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Continuity and singularity of induced measures (60G30)

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Bubbles, convexity and the Black-Scholes equation ⋮ Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ Weak tail conditions for local martingales ⋮ On the martingale property in the rough Bergomi model ⋮ Theory of Cryptocurrency Interest Rates ⋮ ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS ⋮ On the martingale property of certain local martingales ⋮ Implied Volatility in Strict Local Martingale Models ⋮ Simple examples of pure-jump strict local martingales ⋮ DUPIRE'S EQUATION FOR BUBBLES ⋮ A characterization of the martingale property of exponentially affine processes ⋮ A weak convergence criterion for constructing changes of measure

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