Strict local martingales: examples
Probability
2017-06-06 v2
Abstract
We show that a continuous local martingale is a strict local martingale if its supremum process is not in for a positive number smaller than . Using this we construct a family of strict local martingales.
Keywords
Cite
@article{arxiv.1609.00935,
title = {Strict local martingales: examples},
author = {Xue-Mei Li},
journal= {arXiv preprint arXiv:1609.00935},
year = {2017}
}
Comments
To appear: Statistics and Probability Letters