When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://epubs.siam.org/doi/pdf/10.1137/S0040585X97986382
Reference27 articles.
1. Moment explosions in stochastic volatility models
2. Equivalence of Volterra processes
3. Existence of Optimal Stochastic Control Laws
4. Mixed Fractional Brownian Motion
5. Equivalent and absolutely continuous measure changes for jump-diffusion processes
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