Equivalent and absolutely continuous measure changes for jump-diffusion processes

被引：74

作者：

Cheridito, P ^{[1
]}

Filipovic, D

Yor, M

机构：

[1] Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA

[2] Univ Munich, Dept Math, D-80333 Munich, Germany

[3] Univ Paris 06, Lab Probabil & Modeles Aleatoires, F-75252 Paris, France

来源：

ANNALS OF APPLIED PROBABILITY | 2005年 / 15卷 / 03期

关键词：

change of measure; jump-diffusion processes; equivalent measure; absolutely continuous measure; carre-du-champ operator;

D O I：

10.1214/105051605000000197

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：1713 / 1732

页数：20

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