کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527154 958716 2016 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Single jump processes and strict local martingales
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Single jump processes and strict local martingales
چکیده انگلیسی
Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given deterministic function up to a random time γ at which they jump and stay constant afterwards. The (local) martingale properties of these single jump local martingales are characterised in terms of conditions on the input parameters. This classification allows an easy construction of strict local martingales, uniformly integrable martingales that are not in H1, etc. As an application, we provide a construction of a (uniformly integrable) martingale M and a bounded (deterministic) integrand H such that the stochastic integral H
- M is a strict local martingale.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 126, Issue 2, February 2016, Pages 337-359
نویسندگان
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