Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes

• Published in: The Annals of Applied Probability, vol. 15, p. 1713-1732
• Publication date: 2005

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.

Keywords: Change of measure, jump-diffusion processes, equivalent measure, absolutely continuous measure; carr´e-du-champ operator

Reference

• EPFL-ARTICLE-148497
• doi:10.1214/105051605000000197

Record created on 2010-04-25, modified on 2017-05-12