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math.PR2013★ 1 cited
A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions
Zhenyu Cui
In this paper we give a new proof to an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions, which provides deterministic criteria for the convergence of integral f…
math.PR2013
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Carole Bernard, Zhenyu Cui, Don McLeish
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. B…