Simple examples of pure-jump strict local martingales
Abstract
We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an integral criterion and by non-uniqueness of an associated ordinary differential equation. Finally we show an alternative construction for our examples by an absolutely continuous measure change in the spirit of (Delbaen and Schachermayer, PTRF 1995).
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.