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The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
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UNSPECIFIED (1999) The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes. PROBABILITY THEORY AND RELATED FIELDS, 115 (3). pp. 325-355. ISSN 0178-8051
Full text not available from this repository.Abstract
For a wide class of local martingales (M-t) there is a default function, which is not identically zero only when (M-t) is strictly local, i.e. not a true martingale. This 'default' in the martingale property allows us to characterize the integrability of functions of sup(s less than or equal to t) M-s in terms of the integrability of the function itself. We describe some (paradoxical) mean-decreasing local sub-martingales, and the default functions for Bessel processes and radial Ornstein-Uhlenbeck processes in relation to their first hitting and last exit times. Mathematics Subject Classtfication (1991): 60G44, 60J60, 60H15.
| Item Type: | Journal Article |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Journal or Publication Title: | PROBABILITY THEORY AND RELATED FIELDS |
| Publisher: | SPRINGER VERLAG |
| ISSN: | 0178-8051 |
| Date: | November 1999 |
| Volume: | 115 |
| Number: | 3 |
| Number of Pages: | 31 |
| Page Range: | pp. 325-355 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/13939 |
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