On the martingale property of time-homogeneous diffusions

We study the martingale property of the positive diffusion
                                              dXt = σ(Xt)dBt.
We prove that X is a true martingale (not only a local martingale) if and only if the function x/σ²(x) is NOT integrable near infinity.

Preview

Category

Date Issued:
2007
URN:
urn:nbn:de:hbz:465-20231102-142233-4
DOI:
10.17185/duepublico/79242
Language:
English
Type of Resource:
Text
Keywords:
Bubbles; CEV model; local volatility model; martingales; local martingales
Collection:
E-Publications
Subject categories of the Deutsche Nationalbibliografie:
510 Mathematics
Hosting institution:
Faculty of Mathematics
version identification:
Preprint / Working paper

Cite

Citation style:
Could not load citation form.

Rights

License Holder:

The authors

Use and reproduction:
This work may be used under a
CC BY-SA 4.0 LogoCreative Commons Attribution-ShareAlike 4.0 License (CC BY-SA 4.0)
.