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.rights The original publication is available at www.springerlink.com 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.publocation Ascona, Switzerland
dc.publocation Ascona, Switzerland
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.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.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.location.activity Ascona, Switzerland
dc.location.activity Ascona, Switzerland
dc.location.activity Ascona, Switzerland
dc.description.keywords Diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations. en_US
dc.description.keywords Epstein-Barr-Virus
dc.description.keywords Immunoglobulin-A
dc.description.keywords Metabolomics
dc.description.keywords Cancer
dc.description.keywords Spectrometry
dc.description.keywords Metabonomics
dc.description.keywords Dysfunction
dc.description.keywords Progression
dc.description.keywords Metabolism
dc.description.keywords Infection
dc.description.keywords Diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations.
dc.description.keywords Diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations.
dc.description.keywords Diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations.
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/Faculty of Science/School of Mathematical Sciences
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance


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