Skip to main content

Ito's Integrated Formula for Strict Local Martingales with Jumps

  • Chapter

Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 1899)

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

Keywords

  • Markov Process
  • Local Time
  • Integrate Formula
  • Characteristic Exponent
  • Local Martingale

These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

This is a preview of subscription content, access via your institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   39.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   54.99
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and Permissions

Copyright information

© 2007 Springer-VerlagBerlinHeidelberg

About this chapter

Cite this chapter

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

Download citation