{
  "id": "1609.02718",
  "version": "v1",
  "published": "2016-09-09T09:30:26.000Z",
  "updated": "2016-09-09T09:30:26.000Z",
  "title": "A note on the Esscher transform of affine Markov processes",
  "authors": [
    "Eberhard Mayerhofer"
  ],
  "comment": "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"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-09-09T09:30:26.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "affine markov processes",
      "esscher transform",
      "generalized riccati differential equations",
      "affine processes",
      "affine models"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}