{
  "id": "1510.03192",
  "version": "v1",
  "published": "2015-10-12T09:18:42.000Z",
  "updated": "2015-10-12T09:18:42.000Z",
  "title": "Single Jump Processes and Strict Local Martingales",
  "authors": [
    "Martin Herdegen",
    "Sebastian Herrmann"
  ],
  "comment": "21 pages; forthcoming in 'Stochastic Processes and their Applications'",
  "doi": "10.1016/j.spa.2015.09.003",
  "categories": [
    "math.PR"
  ],
  "abstract": "Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given deterministic function up to a random time $\\gamma$ at which they jump and stay constant afterwards. The (local) martingale properties of these single jump local martingales are characterised in terms of conditions on the input parameters. This classification allows an easy construction of strict local martingales, uniformly integrable martingales that are not in $H^1$, etc. As an application, we provide a construction of a (uniformly integrable) martingale $M$ and a bounded (deterministic) integrand $H$ such that the stochastic integral $H\\bullet M$ is a strict local martingale.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-10-12T09:18:42.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "strict local martingale",
      "single jump processes",
      "single jump local martingales",
      "study local martingales",
      "martingale properties"
    ],
    "tags": [
      "journal article"
    ],
    "publication": {
      "publisher": "Elsevier"
    },
    "note": {
      "typesetting": "TeX",
      "pages": 21,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv151003192H"
    }
  }
}