A remark on conditions that a diffusion in the natural scale is a martingale
Probability
2017-01-24 v1
Abstract
We consider a diffusion processes on an interval in the natural scale. Some results are known under which is a martingale, and we give simple and analytic proofs for them.
Cite
@article{arxiv.1701.05977,
title = {A remark on conditions that a diffusion in the natural scale is a martingale},
author = {Yuuki Shimizu and Fumihiko Nakano},
journal= {arXiv preprint arXiv:1701.05977},
year = {2017}
}