A characterization of the martingale property of exponentially affine processes

Author:

Mayerhofer Eberhard,Muhle-Karbe Johannes,Smirnov Alexander G.

Funder

WWTF (Vienna Science and Technology Fund)

Russian Foundation for Basic Research

Program for Supporting Leading Scientific Schools

FWF (Austrian Science Fund)

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference25 articles.

1. Wahrscheinlichkeitstheorie;Bauer,2002

2. On exponential local martingales associated with strong Markov continuous local martingales;Blei;Stochastic Processes and their Applications,2009

3. Equivalent and absolutely continuous measure changes for jump-diffusion processes;Cheridito;The Annals of Applied Probability,2005

4. Families of consistent probability measures;Cherny;Theory of Probability and its Applications,2002

5. C. Cuchiero, D. Filipović, E. Mayerhofer, J. Teichmann, Affine processes on positive semidefinite matrices, The Annals of Applied Probability (2009) (in press). Available from: http://arxiv.org/abs/0910.0137.

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