English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

Lions and Musiela (2007) give sufficient conditions to verify when astochastic exponential of a continuous local martingale is a martingale or auniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c andUrusov (2012c) give necessary and sufficient conditions in the case of perfectcorrelation (\rho=1). For financial applications, such as checking themartingale property of the stock price process in correlated stochasticvolatility models, we extend their work to the arbitrary correlation case(-1<=\rho<=1). We give a complete classification of the convergence propertiesof integral functionals of time-homogeneous diffusions and generalize resultsin Mijatovi\'c and Urusov (2012b) (2012c) with alternate proofs avoiding theuse of separating times (concept introduced by Cherny and Urusov (2004) andextensively used in the proofs of Mijatovi\'c and Urusov (2012c)).

On the martingale property in stochastic volatility models based on time-homogeneous diffusions