Strict local martingales: Examples
File(s)1609.00935v2.pdf (115.7 KB)
Accepted version
Author(s)
Li, X-M
Type
Journal Article
Abstract
We show that a continuous local martingale is a strict local martingale if its supremum process is not in Lα for a positive number α smaller than 1. Using this we construct a family of strict local martingales.
Date Issued
2017-05-17
Date Acceptance
2017-04-28
Citation
STATISTICS & PROBABILITY LETTERS, 2017, 129, pp.65-68
ISSN
0167-7152
Publisher
ELSEVIER SCIENCE BV
Start Page
65
End Page
68
Journal / Book Title
STATISTICS & PROBABILITY LETTERS
Volume
129
Copyright Statement
© 2017 Elsevier B.V. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000410018000009&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Strict local martingales
Examples
Oscillations
Small moments
BUBBLES
math.PR
0102 Applied Mathematics
0104 Statistics
1403 Econometrics
Publication Status
Published