Strict local martingales and the Khasminskii test for explosions
نویسندگان
چکیده
منابع مشابه
Strict Local Martingales With Jumps
A strict local martingale is a local martingale which is not a martingale. There are few explicit examples of “naturally occurring” strict local martingales with jumps available in the literature. The purpose of this paper is to provide such examples, and to illustrate how they might arise via filtration shrinkage, a phenomenon we would contend is common in applications such as filtering, contr...
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Throughout these notes, (Ω,F ,P ) will be a probability space and F := {Ft }t∈J a filtration indexed by J , where J is an interval, usually J = [0,∞). The filtration F is said to be complete if each Ft contains all sets of measure 0, and is right-continuous if Ft =∩s>t Fs . A standard filtration is a filtration that is both complete and right-continuous. A stochastic process {X t }t≥0 defined o...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2019
ISSN: 0304-4149
DOI: 10.1016/j.spa.2019.03.009