The martingale property in the context of stochastic differential equations

Ruf, JohannesORCID logo (2015) The martingale property in the context of stochastic differential equations. Electronic Communications in Probability, 20 (34). pp. 1-10. ISSN 1083-589X
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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.
Item Type Article
Departments Mathematics
DOI 10.1214/ECP.v20-3449
Date Deposited 11 Oct 2017 11:21
URI https://researchonline.lse.ac.uk/id/eprint/84585

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