= Reciprocal three-dimensional Bessel strict local martingale
{title2=$d(R^{-1})=-R^{-2}dW$}
For a three-dimensional <Bessel process> started at one, $R$ stays strictly positive and satisfies $dR=dW+R^{-1}dt$. The <Itô formula> makes its reciprocal a <local martingale>, but $\mathbb E[R_t^{-1}]=2\Phi(1/\sqrt t)-1<1$ for $t>0$. Thus the reciprocal is a <strict local martingale>. It can deflate the market with constant bank account and stock price $R$ without yielding a true pricing density for the bank account.
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