arXiv:1609.02718 Abstract | arXiv Analytics

arXiv:1609.02718 [math.PR]Abstract References Reviews Resources

A note on the Esscher transform of affine Markov processes

Published 2016-09-09Version 1

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.

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

Categories: math.PR

Keywords: affine markov processes, esscher transform, generalized riccati differential equations, affine processes, affine models

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