A note on the Esscher transform of affine Markov processes
Probability
2016-09-12 v1
Abstract
In affine models, both the martingale property of stochastic exponentials and non-explosion of affine processes is characterized in terms of minimality of solutions to a system of generalized Riccati differential equations. This is the final improvement of previous results by Duffie, Filipovic and Schachermayer (2003), Mayerhofer, Muhle-Karbe and Smirnov (2011) and Keller-Ressel and Mayerhofer (2015) for processes on canonical state spaces.
Keywords
Cite
@article{arxiv.1609.02718,
title = {A note on the Esscher transform of affine Markov processes},
author = {Eberhard Mayerhofer},
journal= {arXiv preprint arXiv:1609.02718},
year = {2016}
}
Comments
Old preprint. Exclusively published on https://www.arxiv.org. Slightly cryptic, but with a graphical illustration. Recent results on true local martingales by Martin Keller-Ressel are related