  A strict local martingale is a local martingale that is not a martingale. We
investigate how such a process might arise from a true martingale as a result
of an enlargement of the filtration. We study and implement a particular type
of enlargement, initial expansion of filtration, for various stochastic
differential equations and provide sufficient conditions in each of these cases
such that initial expansion can create a strict local martingale under an
equivalent probability measure. Such situations arise in the theory of
Mathematical Finance.
