Ito's Integrated Formula for Strict Local Martingales with Jumps [chapter]

Oleksandr Chybiryakov
Lecture Notes in Mathematics  
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.
doi:10.1007/978-3-540-71189-6_20 fatcat:g55r7qrhurcorg7haq3secerae