The martingale property in the context of stochastic differential equations
Ruf, J.
(2015).
The martingale property in the context of stochastic differential equations.
Electronic Communications in Probability,
20(34), 1-10.
https://doi.org/10.1214/ECP.v20-3449
(2015).
The martingale property in the context of stochastic differential equations.
Electronic Communications in Probability,
20(34), 1-10.
https://doi.org/10.1214/ECP.v20-3449
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.