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Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes

Filipovic, Damir ; Cheridito, P. ; Yor, M.

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.


Published in:
The Annals of Applied Probability, 15, 1713-1732
Year:
2005
Keywords:
Change of measure, jump-diffusion processes, equivalent measure, absolutely continuous measure; carr´e-du-champ operator
DOI:
10.1214/105051605000000197
Laboratories:
CSF

Record appears in:
Scientific production and competences > CDM - College of Management of Technology > SFI - Swiss Finance Institute at EPFL > CSF - The Swissquote Chair in Quantitative Finance
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Peer-reviewed publications
Work outside EPFL
Journal Articles
Published



 Record created 2010-04-25, last modified 2018-03-17

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