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Strict local martingales : examples
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Li, Xue-Mei (2017) Strict local martingales : examples. Statistics & Probability Letters, 129 . pp. 65-68. doi:10.1016/j.spl.2017.04.025 ISSN 0167-7152.
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Official URL: http://dx.doi.org/10.1016/j.spl.2017.04.025
Abstract
We show that a continuous local martingale is a strict local martingale if its supremum process is not in for a positive number smaller than 1. Using this we construct a family of strict local martingales.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Journal or Publication Title: | Statistics & Probability Letters | ||||
Publisher: | Elsevier Science BV | ||||
ISSN: | 0167-7152 | ||||
Official Date: | 2017 | ||||
Dates: |
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Volume: | 129 | ||||
Page Range: | pp. 65-68 | ||||
DOI: | 10.1016/j.spl.2017.04.025 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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