Strict local martingales and the Khasminskii test for explosions

Aditi Dandapani and Philip Protter

Stochastic Processes and their Applications, 2022, vol. 150, issue C, 716-728

Abstract: We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale M are strict local martingales or martingales. We assume that the equations have diffusion coefficients of the form σ(Mt,vt), with vt being a stochastic volatility term.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414918307518
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:150:y:2022:i:c:p:716-728

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2019.03.009

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().