Equivalent and absolutely continuous measure changes for jump-diffusion processes
Probability
2007-05-23 v1
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.
Keywords
Cite
@article{arxiv.math/0508450,
title = {Equivalent and absolutely continuous measure changes for jump-diffusion processes},
author = {Patrick Cheridito and Damir Filipovic and Marc Yor},
journal= {arXiv preprint arXiv:math/0508450},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/105051605000000197 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)