Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes
2005
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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
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
Peer-reviewed publications
Work outside EPFL
Journal Articles
Published
Record creation date
2010-04-25