Exponentially affine martingales, affine measure changes and exponential moments of affine processes
نویسندگان
چکیده
منابع مشابه
Exponentially affine martingales, affine measure changes and exponential moments of affine processes
We consider local martingales of exponential form M = eX or E (X) where X denotes one component of a multivariate affine process. We give a weak sufficient criterion for M to be a true martingale. As a first application, we derive a simple sufficient condition for absolute continuity of the laws of two given affine processes. As a second application, we study whether the exponential moments of ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2010
ISSN: 0304-4149
DOI: 10.1016/j.spa.2009.10.012