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2015 The martingale property in the context of stochastic differential equations
Johannes Ruf
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Electron. Commun. Probab. 20: 1-10 (2015). DOI: 10.1214/ECP.v20-3449

Abstract

This note studies the martingale property of a nonnegative, continuous local martingale $Z$, given as a nonanticipative functional of a solution to a stochastic differential equation. The condition states that $Z$ is a (uniformly integrable) martingale if and only if an integral test of a related functional holds.

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Johannes Ruf. "The martingale property in the context of stochastic differential equations." Electron. Commun. Probab. 20 1 - 10, 2015. https://doi.org/10.1214/ECP.v20-3449

Information

Accepted: 25 April 2015; Published: 2015
First available in Project Euclid: 7 June 2016

zbMATH: 1321.60085
MathSciNet: MR3342168
Digital Object Identifier: 10.1214/ECP.v20-3449

Subjects:
Primary: 60G44
Secondary: 60H10

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