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- Title:
Exponentially affine martingales, affine measure changes and exponential moments of affine processes
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Muhle-Karbe, J., Kallsen, J.
- Non-TUM Co-author(s):
- nein
- Cooperation:
- -
- 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
- Journal title:
- Stochastic Processes and their Applications
- Year:
- 2008
- Journal volume:
- 120
- Journal issue:
- 2
- Pages contribution:
- 163-181
- Language:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- Commissioned:
- not commissioned
- Professional Journal:
- Nein
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