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arXiv · 1701.05977

A remark on conditions that a diffusion in the natural scale is a martingale

Yuuki Shimizu·Fumihiko Nakano
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Abstract

We consider a diffusion processes $\{ X_t \}$ on an interval in the natural scale. Some results are known under which $\{ X_t \}$ is a martingale, and we give simple and analytic proofs for them.

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Yuuki Shimizu, Fumihiko Nakano. 2017-01-21. A remark on conditions that a diffusion in the natural scale is a martingale. https://arxiv.org/abs/1701.05977

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