Korean J. Math.  Vol 23, No 3 (2015)  pp.491-502
DOI: https://doi.org/10.11568/kjm.2015.23.3.491

On martingale property of the stochastic integral equations

Weonbae Kim


A martingale is a mathematical model for a fair wager and the modern theory of martingales plays a very important and useful role in the study of the stochastic fields. This paper is devoted to investigate a martingale and a non-martingale on the several stochastic integral or differential equations. Specially, we show that whether the stochastic integral equation involving a standard Wiener process with the associated filtration is or not a martingale.


Martingale, Wiener Process, Stochastic Differential Equation, Stochastic Integral Equation.

Subject classification

28C20, 60H15, 60H20, 60G44, 65C30.


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