Strict local martingale

A strict local martingale is a local martingale that is not a true martingale. The reciprocal of a three-dimensional Bessel process is an example: it is a nonnegative continuous local martingale whose expectation decreases strictly.

For planar Brownian motion started at zero, $\log |B_t|$, considered from time one onward, is a local martingale because $\log |x|$ is harmonic off the polar point zero. Every fixed-time absolute moment is finite, but $\mathbb{E}{X}_t=\frac{1}{2}\log t+\mathbb{E}\log |B_1|$ increases. It is therefore not a true martingale. Finite moments at individual times do not establish class DL.

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