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arXiv · 1609.00935

Strict local martingales: examples

Xue-Mei Li
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Abstract

We show that a continuous local martingale is a strict local martingale if its supremum process is not in $ L_α$ for a positive number $α$ smaller than $1$. Using this we construct a family of strict local martingales.

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Xue-Mei Li. 2017-05-05. Strict local martingales: examples. https://doi.org/10.1016/j.spl.2017.04.025

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