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Suppose I'd like to check the martingale property for some SDE. What do I have to require for it to be martingale? I know that no drift is one requirement, but what are the others?

SSE
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    @ SSE : Well sde's with null drift are local martingales, so your question is really about conditions that ensures that a sde's are real martingales you should google this first. Best regards – TheBridge Mar 10 '14 at 22:19
  • @TheBridge I can't find it, that's why I ask it here. Maybe you can give me a url? – SSE Mar 11 '14 at 13:33
  • @ SSE : You could start here : http://math.stackexchange.com/questions/38908/criteria-for-being-a-true-martingale/38947#38947 – TheBridge Mar 11 '14 at 13:37
  • @TheBridge Can I not ''by inspection'' conclude from an SDE whether it is a martingale? – SSE Mar 11 '14 at 14:53

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