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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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