A visual criterion for identifying Ito diffusions as martingales or strict local martingales

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dc.contributor.author Hulley, Hardy en_US
dc.contributor.author Platen, Eckhard en_US
dc.contributor.editor Dalang, R; Sozzi, M; Russo, F en_US
dc.date.accessioned 2012-10-12T03:35:46Z
dc.date.available 2012-10-12T03:35:46Z
dc.date.issued 2011 en_US
dc.identifier 2008008570 en_US
dc.identifier.citation Hulley Hardy and Platen Eckhard 2011, 'A visual criterion for identifying Ito diffusions as martingales or strict local martingales', , Springer, Ascona, Switzerland, , pp. 147-157. en_US
dc.identifier.issn 978-3-0348-0020-4 en_US
dc.identifier.other E1 en_US
dc.identifier.uri http://hdl.handle.net/10453/19061
dc.description.abstract It is often important, in applications of stochastic calculus to financial modelling, to know whether a given local martingale is a martingale or a strict local martingale. We address this problem in the context of a time-homogenous diffusion process with a finite lower boundary, presented as the solution of a driftless stochastic differential equation. Our main theorem demonstrates that the question of whether or not this process is a martingale may be decided simply by examining the slope of a certain increasing function. Further results establish the connection between our theorem and other results in the literature, while a number of examples are provided to illustrate the use of our criterion. en_US
dc.language en_US
dc.publisher Springer en_US
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon http://dx.doi.org/10.1007/978-3-0348-0021-1_9 en_US
dc.rights The original publication is available at www.springerlink.com en_US
dc.title A visual criterion for identifying Ito diffusions as martingales or strict local martingales en_US
dc.parent Seminar on Stochastic Analysis, Random Fields and Applications VI en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation Ascona, Switzerland en_US
dc.identifier.startpage 147 en_US
dc.identifier.endpage 157 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 010205 en_US
dc.personcode 040635 en_US
dc.personcode 970685 en_US
dc.percentage 100 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom Seminar on Stochastic Processes, Random Fields and Applications en_US
dc.date.activity 20080523 en_US
dc.location.activity Ascona, Switzerland en_US
dc.description.keywords Diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations. en_US
dc.staffid en_US
dc.staffid 970685 en_US


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