Itô's integrated formula for strict local martingales with jumps. - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2005

Itô's integrated formula for strict local martingales with jumps.

Résumé

This note presents some properties of positive càdlàg local martingales which are not martingales - strict local martingales - extending the results from [MY05] 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.
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Dates et versions

hal-00008998 , version 1 (21-09-2005)

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  • HAL Id : hal-00008998 , version 1

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Oleksandr Chybiryakov. Itô's integrated formula for strict local martingales with jumps.. 2005. ⟨hal-00008998⟩
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