Strict local martingales and the Khasminskii test for explosions

@article{Protter2019StrictLM,
  title={Strict local martingales and the Khasminskii test for explosions},
  author={Philip Protter and Aditi Dandapani},
  journal={Stochastic Processes and their Applications},
  year={2019}
}
  • P. Protter, A. Dandapani
  • Published 6 March 2019
  • Economics, Mathematics
  • Stochastic Processes and their Applications
We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale $M$ are strict local martingales or martingales. We assume that the equations have diffusion coefficients of the form $\sigma(M_t,v_t),$ with $v_t$ being a stochastic volatility term. 
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