The Martingale Property in the Context of Stochastic Differential Equations
Probability
2015-04-28 v2
Abstract
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.
Keywords
Cite
@article{arxiv.1306.0218,
title = {The Martingale Property in the Context of Stochastic Differential Equations},
author = {Johannes Ruf},
journal= {arXiv preprint arXiv:1306.0218},
year = {2015}
}
Comments
Revised version. Published in Electron. Commun. Probab