Title: Strict Local Martingales via Filtration Enlargement
Abstract: A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the filtration. We study and implement a particular type of enlargement, initial expansion of filtration, for various stochastic differential equations and provide sufficient conditions in each of these cases such that initial expansion can create a strict local martingale under an equivalent probability measure. Such situations arise in the theory of Mathematical Finance.
Publication Year: 2016
Publication Date: 2016-08-23
Language: en
Type: preprint
Access and Citation
Cited By Count: 2
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot