Articlebronze2005

Equivalent and absolutely continuous measure changes for jump-diffusion processes

Patrick Cheridito · Damir Filipović · Marc Yor

95 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

Abstract

We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential.

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References

1985A Theory of the Term Structure of Interest Rates 1999Continuous Martingales and Brownian Motion 2003Limit Theorems for Stochastic Processes 2003Affine processes and applications in finance 2001Statistics of Random Processes 1994Continuous Exponential Martingales and BMO 2001Exponential Functionals of Brownian Motion and Related Processes 1998Complete Models with Stochastic Volatility

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