A remark on conditions that a diffusion in the natural scale is a martingale

2017/01/21 by Yuuki Shimizu, Shimizu, Yuuki, Fumihiko Nakano +1
Computer Science · Mathematics · Economics, Econometrics and Finance · #Advanced Mathematical Modeling in Engineering #Mathematical Dynamics and Fractals #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1701.05977

Abstract

We consider a diffusion processes \ X_t \ on an interval in the natural scale. Some results are known under which \ X_t \ is a martingale, and we give simple and analytic proofs for them.

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