The cumulant process and Esscher's change of measure
نویسندگان
چکیده
In this paper two kinds of cumulant processes are studied in a general setting. These processes generalize the cumulant of an infinitely divisible random variable and they appear as the exponential compensator of a semimartingale. In a financial context cumulant processes lead to a generalized Esscher transform. We also provide some new criteria for uniform integrability of exponential martingales.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 6 شماره
صفحات -
تاریخ انتشار 2002