Work

Equivalent and absolutely continuous measure changes for jump-diffusion processes

Year: 2005

Type: article

Abstract: 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.

Source: The Annals of Applied Probability

DOI: 10.1214/105051605000000197

Authors: Patrick Cheridito, Damir Filipović, Marc Yor

Institutions: Princeton University, Université Pierre-et-Marie-Curie, Ludwig-Maximilians-Universität München

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funder: National Science Foundation

OpenAlex ID: W2132213310

FWCI: 5.123

Cites: 29

Cited by: 95

Related to: 10