Strict local martingales and the Khasminskii test for explosions

Stochastic Processes and their Applications ◽

10.1016/j.spa.2019.03.009 ◽

2019 ◽

Author(s):

Aditi Dandapani ◽

Philip Protter

Keyword(s):

Strict Local Martingales

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Detecting Strict Local Martingales

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_17 ◽

2013 ◽

pp. 397-403

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

Strict Local Martingales

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Ito's Integrated Formula for Strict Local Martingales with Jumps

Lecture Notes in Mathematics - Séminaire de Probabilités XL ◽

10.1007/978-3-540-71189-6_20 ◽

2007 ◽

pp. 375-388 ◽

Author(s):

Oleksandr Chybiryakov

Keyword(s):

Strict Local Martingales

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Filtration shrinkage, strict local martingales and the Föllmer measure

The Annals of Applied Probability ◽

10.1214/13-aap961 ◽

2014 ◽

Vol 24 (4) ◽

pp. 1739-1766 ◽

Author(s):

Martin Larsson

Keyword(s):

Strict Local Martingales

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Simple examples of pure-jump strict local martingales

Stochastic Processes and their Applications ◽

10.1016/j.spa.2015.06.003 ◽

2015 ◽

Vol 125 (11) ◽

pp. 4142-4153 ◽

Author(s):

Martin Keller-Ressel

Keyword(s):

Strict Local Martingales

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Strict local martingales and bubbles

The Annals of Applied Probability ◽

10.1214/14-aap1037 ◽

2015 ◽

Vol 25 (4) ◽

pp. 1827-1867 ◽

Author(s):

Constantinos Kardaras ◽

Dörte Kreher ◽

Ashkan Nikeghbali

Keyword(s):

Strict Local Martingales

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Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)

SSRN Electronic Journal ◽

10.2139/ssrn.2566815 ◽

2015 ◽

Author(s):

Martin Herdegen ◽

Martin Schweizer

Keyword(s):

Financial Bubbles ◽

Strict Local Martingales

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Strict local martingales: Examples

Statistics & Probability Letters ◽

10.1016/j.spl.2017.04.025 ◽

2017 ◽

Vol 129 ◽

pp. 65-68 ◽

Author(s):

Xue-Mei Li

Keyword(s):

Strict Local Martingales

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A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales

SSRN Electronic Journal ◽

10.2139/ssrn.2170276 ◽

2009 ◽

Author(s):

Hardy Hulley ◽

Eckhard Platen

Keyword(s):

Strict Local Martingales

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Ito's Integrated Formula for Strict Local Martingales

In Memoriam Paul-André Meyer - Lecture Notes in Mathematics ◽

10.1007/978-3-540-35513-7_13 ◽

2006 ◽

pp. 157-170 ◽

Author(s):

Dilip B. Madan ◽

Marc Yor

Keyword(s):

Strict Local Martingales

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On backward stochastic differential equations and strict local martingales

Stochastic Processes and their Applications ◽

10.1016/j.spa.2012.03.003 ◽

2012 ◽

Vol 122 (6) ◽

pp. 2265-2291 ◽

Author(s):

Hao Xing

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

Strict Local Martingales

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