Equivalent and absolutely continuous measure changes for jump-diffusion processes
Patrick Cheridito, Damir Filipović, and Marc Yor
Source: Ann. Appl. Probab. Volume 15, Number 3
(2005), 1713-1732.
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.
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Keywords: Change of measure; jump-diffusion processes; equivalent measure; absolutely continuous measure; carré-du-champ operator
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Permanent link to this document: http://projecteuclid.org/euclid.aoap/1121433766
Digital Object Identifier: doi:10.1214/105051605000000197
Mathematical Reviews number (MathSciNet): MR2152242
Zentralblatt MATH identifier: 1082.60034
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