On a certain local martingale in a general diffusion setting
Résumé
For a one-dimensional continuous strong Markov process Y we present an explicit construction of a convex function q such that q(Y t)−t, t ≥ 0, is a local martingale. As an application we deduce some integrability properties of Y evaluated at stopping times and present a proof of Feller's test for explosions based directly on that function q.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)