On a certain local martingale in a general diffusion setting
Abstract
For a one-dimensional continuous strong Markov process Y we present an explicit construction of a convex function q such that q(Y t)−t, t ≥ 0, is a local martingale. As an application we deduce some integrability properties of Y evaluated at stopping times and present a proof of Feller's test for explosions based directly on that function q.
Domains
Probability [math.PR]| Origin | Files produced by the author(s) |
|---|