The martingale property in the context of stochastic differential equations
نویسنده
چکیده
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.
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تاریخ انتشار 2015