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- Titel:
Exponentially affine martingales, affine measure changes and exponential moments of affine processes
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Muhle-Karbe, J., Kallsen, J.
- Nicht-TUM Koautoren:
- nein
- Kooperation:
- -
- Abstract:
- We consider local martingales of exponential form M = E(X) or exp (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 an affine process solve a generalized Riccati equation.
- Intellectual Contribution:
- Discipline-based Research
- Zeitschriftentitel:
- Stochastic Processes and their Applications
- Jahr:
- 2008
- Band / Volume:
- 120
- Heft / Issue:
- 2
- Seitenangaben Beitrag:
- 163-181
- Sprache:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- commissioned:
- not commissioned
- Professional Journal:
- Nein
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