It is well-known that for $\gamma>1$ the CEV process $$ dX_t = X_t^\gamma dW_t, \quad X_0 > 0, $$ is a strict supermartingale. Supermartingality follows since $X_t$ is a non-negative local martingale. Is there a short proof that $X_t$ is not a genuine martingale?
2026-04-12 21:09:30.1776028170
CEV process is a strict supermartingale
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