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A weak convergence criterion for constructing changes of measure
16 references·0 citing·34 second hop
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References

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  • 1989Brownian Motion and Stochastic Calculus.921 cited
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  • 2006Market price of risk specifications for affine models: Theory and evidence☆326 cited
  • 1971Existence of Optimal Stochastic Control Laws246 cited
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  • 2010On the martingale property of certain local martingales120 cited
  • 1973On an Identity for Stochastic Integrals106 cited
  • 2005Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes97 cited
  • 2008No Arbitrage and General Semimartingales96 cited
  • 2005Equivalent and absolutely continuous measure changes for jump-diffusion processes95 cited
  • 2009Exponentially affine martingales, affine measure changes and exponential moments of affine processes61 cited
  • 2015The martingale property in the context of stochastic differential equations

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