| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5129711 | Statistics & Probability Letters | 2017 | 4 Pages |
Abstract
We show that a continuous local martingale is a strict local martingale if its supremum process is not in Lα for a positive number α smaller than 1. Using this we construct a family of strict local martingales.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xue-Mei Li,