{
  "id": "1608.06361",
  "version": "v1",
  "published": "2016-08-23T02:17:08.000Z",
  "updated": "2016-08-23T02:17:08.000Z",
  "title": "Strict Local Martingales via Filtration Enlargement",
  "authors": [
    "Aditi Dandapani",
    "Philip Protter"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-08-23T02:17:08.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "strict local martingale",
      "filtration enlargement",
      "initial expansion",
      "equivalent probability measure",
      "stochastic differential equations"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}