Strict Local Martingales and the Khasminskii test for Explosions

Philip Protter and Aditi Dandapani

Papers from arXiv.org

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 $\sigma(M_t,v_t),$ with $v_t$ being a stochastic volatility term.

Date: 2019-03
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