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arxiv: 1903.02383 · v1 · pith:5JSTGZJCnew · submitted 2019-03-06 · 💱 q-fin.MF

Strict Local Martingales and the Khasminskii test for Explosions

classification 💱 q-fin.MF
keywords localmartingalesstrictassumecoefficientscomponentsconditionsdiffusion
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We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale $M$ are strict local martingales or martingales. We assume that the equations have diffusion coefficients of the form $\sigma(M_t,v_t),$ with $v_t$ being a stochastic volatility term.

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