A remark on conditions that a diffusion in the natural scale is a martingale
Yuuki Shimizu, Fumihiko Nakano·2017-01-21·via math.PR updates on arXiv.org
We consider a diffusion processes $\{ X_t \}$ on an interval in the natural scale. Some results are known under which $\{ X_t \}$ is a martingale, and we give simple and analytic proofs for them.