This note presents some properties of positive c`adl`ag local martingales which are not martingales – strict local martingales – extending the results from [MY06] to local martingales with jumps. Some new examples of strict local martingales are given. The construction relies on absolute continuity relationships between Dunkl processes and absolute continuity relationships between semi-stable Markov processes. 2000 AMS Subject Classification: 60G44, 60J75, 60J55, 60J25 Key words: Strict local martingales, Local time, Semi-stable Markov processes, Dunkl Markov processes
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© 2007 Springer-VerlagBerlinHeidelberg
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Chybiryakov, O. (2007). Ito's Integrated Formula for Strict Local Martingales with Jumps. In: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C. (eds) Séminaire de Probabilités XL. Lecture Notes in Mathematics, vol 1899. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71189-6_20
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