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A visual criterion for identifying Ito diffusions as martingales or strict local martingales

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Cover of 'A visual criterion for identifying Ito diffusions as martingales or strict local martingales'

Table of Contents

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    Book Overview
  2. Altmetric Badge
    Chapter 1 The Trace Formula for the Heat Semigroup with Polynomial Potential
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    Chapter 2 Existence Results for Fokker–Planck Equations in Hilbert Spaces
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    Chapter 3 Uniqueness in Law of the Itô Integral with Respect to Lévy Noise
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    Chapter 4 Statistical Inference and Malliavin Calculus
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    Chapter 5 Hydrodynamics, Probability and the Geometry of the Diffeomorphisms Group
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    Chapter 6 On Stochastic Ergodic Control in Infinite Dimensions
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    Chapter 7 Seminar on Stochastic Analysis, Random Fields and Applications VI
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    Chapter 8 Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
  10. Altmetric Badge
    Chapter 9 A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales
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    Chapter 10 Are Fractional Brownian Motions Predictable?
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    Chapter 11 Control of Exit Time for Lagrangian Systems with Weak Noise
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    Chapter 12 A Probabilistic Deformation of Calculus of Variations with Constraints
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    Chapter 13 Exponential Integrability and DLR Consistence of Some Rough Functionals
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    Chapter 14 A Family of Series Representations of the Multiparameter Fractional Brownian Motion
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    Chapter 15 The Martingale Problem for Markov Solutions to the Navier-Stokes Equations
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    Chapter 16 Functional Inequalities for the Wasserstein Dirichlet Form
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    Chapter 17 Entropic Measure on Multidimensional Spaces
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    Chapter 18 Properties of Strong Local Nondeterminism and Local Times of Stable Random Fields
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    Chapter 19 Hedging with Residual Risk: A BSDE Approach
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    Chapter 20 Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1)
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    Chapter 21 The Clean Development Mechanism and Joint Price Formation for Allowances and CERs
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    Chapter 22 Optimal Investment Problems with Marked Point Processes
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    Chapter 23 Doubly Stochastic CDO Term Structures
  25. Altmetric Badge
    Chapter 24 A Framework for Dynamic Hedging under Convex Risk Measures
  26. Altmetric Badge
    Chapter 25 On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
  27. Altmetric Badge
    Chapter 26 Analyzing the Fine Structure of Continuous Time Stochastic Processes
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Title
A visual criterion for identifying Ito diffusions as martingales or strict local martingales
Published by
Springer, January 2011
DOI 10.1007/978-3-0348-0021-1
ISBNs
978-3-03-480020-4, 978-3-03-480021-1
Authors

Hulley, H, Platen, E

Editors

Dalang, Robert, Dozzi, Marco, Russo, Francesco

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 13 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Japan 1 8%
United States 1 8%
Unknown 11 85%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 6 46%
Professor > Associate Professor 3 23%
Student > Master 1 8%
Unknown 3 23%
Readers by discipline Count As %
Mathematics 6 46%
Economics, Econometrics and Finance 3 23%
Engineering 1 8%
Unknown 3 23%