Strict local martingales: examples
classification
🧮 math.PR
keywords
localstrictalphamartingalemartingalesconstructcontinuousexamples
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We show that a continuous local martingale is a strict local martingale if its supremum process is not in $ L_\alpha$ for a positive number $\alpha $ smaller than $1$. Using this we construct a family of strict local martingales.
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