Strict local martingales: Examples

Abstract

We show that a continuous local martingale is a strict local martingale if its supremum process is not in Lα for a positive number α smaller than 1. Using this we construct a family of strict local martingales which are not Bessel processes.

Credit Risk, Liquidity, and Bubbles

“…For the multidimensional case the theory becomes difficult. So far the best results are due to Li () and Dandapani and Protter (). A tangentially related result is that of Ruf ().…”