A remark on conditions that a diffusion in the natural scale is a martingale
Yuuki ShimizuFumihiko Nakano
所有作者
Yuuki ShimizuFumihiko Nakano
文献摘要
We consider a diffusion processes {Xt} on an interval in the natural
scale. Some results are known under which {Xt} is a martingale, and we
give simple and analytic proofs for them.