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Strict local martingales: examples

Published 4 Sep 2016 in math.PR | (1609.00935v2)

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

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Authors (1)

  1. Xue-Mei Li 

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