Simple examples of pure-jump strict local martingales

Martin Keller-Ressel

Stochastic Processes and their Applications, 2015, vol. 125, issue 11, 4142-4153

Abstract: We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an integral criterion and by non-uniqueness of an associated ordinary differential equation. Finally we show an alternative construction for our examples by an absolutely continuous measure change in the spirit of (Delbaen and Schachermayer, PTRF 1995).

Keywords: Strict local martingale; Affine process; Self-exciting process; Generalized Riccati equation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2015.06.003

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