Analysis of continuous strict local martingales via h-transforms

Stochastic Processes and their Applications

Volumn 120, Issue 8, 2010, Pages 1424-1443

  Pal, Soumik ^a   Protter, Philip ^b  

^a UNIVERSITY OF WASHINGTON   (United States)

^b Department of Obstetrics Gynecology   (United States)

Author keywords

Financial bubble; Inverse Bessel process; Local martingale; Strict local martingale

Indexed keywords

COMPUTER SIMULATION; STATISTICS; STOCHASTIC SYSTEMS;

BESSEL PROCESS; CHANGE OF MEASURE; DIFFUSION PATHS; FINANCIAL BUBBLE; LOCAL MARTINGALE; MULTIDIMENSIONAL GENERALIZATION; STRICT LOCAL MARTINGALE;

DIFFUSION;

EID: 82655171400     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2010.04.004     Document Type: Article

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