Strict local martingales: Examples

Xue-Mei Li

Statistics & Probability Letters, 2017, vol. 129, issue C, 65-68

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.

Keywords: Strict local martingales; Examples; Oscillations; Small moments (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2017.04.025

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