Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes
Filipovic, Damir; Cheridito, P.; Yor, M.
2005

Files

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.

Details

Title Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes
Author(s) Filipovic, Damir ; Cheridito, P. ; Yor, M.
Published in The Annals of Applied Probability
Volume 15
Pages 1713-1732
Date 2005
Keywords
DOI https://doi.org/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
Peer-reviewed publications
Work outside EPFL
Journal Articles
Published
Record creation date 2010-04-25

PDF