A remark on conditions that a diffusion in the natural scale is a martingale
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🧮 math.PR
keywords
diffusionmartingalenaturalscaleanalyticconditionsconsidergive
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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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