Abstract
This note studies the martingale property of a nonnegative, continuous local martingale $Z$, given as a nonanticipative functional of a solution to a stochastic differential equation. The condition states that $Z$ is a (uniformly integrable) martingale if and only if an integral test of a related functional holds.
Citation
Johannes Ruf. "The martingale property in the context of stochastic differential equations." Electron. Commun. Probab. 20 1 - 10, 2015. https://doi.org/10.1214/ECP.v20-3449
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