A visual criterion for identifying Ito diffusions as martingales or strict local martingales

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dc.contributor.author Hulley, H
dc.contributor.author Platen, E
dc.contributor.editor Dalang, R
dc.contributor.editor Sozzi, M
dc.contributor.editor Russo, F
dc.date.accessioned 2012-10-12T03:35:46Z
dc.date.issued 2011-01
dc.identifier.citation Seminar on Stochastic Analysis, Random Fields and Applications VI, 2011, pp. 147 - 157
dc.identifier.isbn 978-3-0348-0020-4
dc.identifier.other E1 en_US
dc.identifier.uri http://hdl.handle.net/10453/19061
dc.description.abstract It is often important, in applications of stochastic calculus to financial modelling, to know whether a given local martingale is a martingale or a strict local martingale. We address this problem in the context of a time-homogenous diffusion process with a finite lower boundary, presented as the solution of a driftless stochastic differential equation. Our main theorem demonstrates that the question of whether or not this process is a martingale may be decided simply by examining the slope of a certain increasing function. Further results establish the connection between our theorem and other results in the literature, while a number of examples are provided to illustrate the use of our criterion.
dc.format Jessica Robinson
dc.publisher Springer
dc.relation.hasversion Accepted manuscript version en_US
dc.title A visual criterion for identifying Ito diffusions as martingales or strict local martingales
dc.type Conference Proceeding
dc.parent Seminar on Stochastic Analysis, Random Fields and Applications VI
dc.journal.number en_US
dc.publocation Ascona, Switzerland en_US
dc.publocation Ascona, Switzerland
dc.identifier.startpage 147 en_US
dc.identifier.endpage 157 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.conference Seminar on Stochastic Processes, Random Fields and Applications
dc.conference Seminar on Stochastic Processes, Random Fields and Applications
dc.for 010205 Financial Mathematics
dc.personcode 970685
dc.personcode 040635
dc.percentage 100 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom Seminar on Stochastic Processes, Random Fields and Applications en_US
dc.date.activity 20080523 en_US
dc.date.activity 2008-05-23
dc.date.activity 2008-05-23
dc.location.activity Ascona, Switzerland en_US
dc.location.activity WOS:000291081400026
dc.location.activity Ascona, Switzerland
dc.description.keywords Diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations.
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
pubs.consider-herdc true
utslib.collection.history General (ID: 2)
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history School of Mathematical Sciences (ID: 340)


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