Aditi Dandapani, Philip Protter
Published 2016-08-23Version 1
A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the filtration. We study and implement a particular type of enlargement, initial expansion of filtration, for various stochastic differential equations and provide sufficient conditions in each of these cases such that initial expansion can create a strict local martingale under an equivalent probability measure. Such situations arise in the theory of Mathematical Finance.
An extension of the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps
Recurrent Solutions of Stochastic Differential Equations with Non-constant Diffusion Coefficients which obey the Law of the Iterated Logarithm
$\varphi$-strong solutions and uniqueness of 1-dimensional stochastic differential equations
![QR code for arXiv:1608.06361 [math.PR]](http://oss.arxitics.com/images/favicon.svg)