Simple examples of pure-jump strict local martingales

We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an integral criterion and by non-uniqueness of an associated ordinary differential equation. Finally we show an alternative construction for our examples by an absolutely continuous measure change in the spirit of (Delbaen and Schachermayer, PTRF 1995)

Forward-Invariance and Wong-Zakai Approximation for Stochastic Moving Boundary Problems

We discuss a class of stochastic second-order PDEs in one space-dimension with an inner boundary moving according to a possibly non-linear, Stefan-type condition. We show that proper separation of phases is attained, i.e., the solution remains negative on one side and positive on the other side of the moving interface, when started with the appropriate initial conditions. To extend results from deterministic settings to the stochastic case, we establish a Wong-Zakai type approximation. After a coordinate transformation the problems are reformulated and analysed in terms of stochastic evolution equations on domains of fractional powers of linear operators.Comment: 46 page