Itô's integrated formula for strict local martingales with jumps.
Abstract
This note presents some properties of positive càdlàg local martingales which are not martingales - strict local martingales - extending the results from [MY05] to local martingales with jumps. Some new examples of strict local martingales are given. The construction relies on absolute continuity relationships between Dunkl processes and absolute continuity relationships between semi-stable Markov processes.
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