A characterization of the martingale property of exponentially affine processes (Q550153): Difference between revisions

The authors characterize the martingale property of exponential affine processes. Deterministic necessary and sufficient conditions are given in terms of the related admissible parameters of the process. Using an ODE comparison result in a general non-Lipschitz setting the authors furthermore provide necessary and sufficient conditions for an affine process to be conservative. This leads to the applicability of semimartingale calculus for affine processes.

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zbMATH Keywords

affine processes

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exponential martingales

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martingale property

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conservative processes

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MaRDI profile type

MaRDI publication profile

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cites work

Q2763657

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On exponential local martingales associated with strong Markov continuous local martingales

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Equivalent and absolutely continuous measure changes for jump-diffusion processes

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Families of Consistent Probability Measures

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Arbitrage possibilities in Bessel processes and their relations to local martingales

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No arbitrage condition for positive diffusion price processes

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Affine processes and applications in finance

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Q3925594

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A general characterization of one factor affine term structure models

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The exit measure of a supermartingale

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Q4778955

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$\sigma$-Localization and $\sigma$-Martingales

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Exponentially affine martingales, affine measure changes and exponential moments of affine processes

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The cumulant process and Esscher's change of measure

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Affine processes are regular

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Sur l'int�grabilit� uniforme des martingales exponentielles

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Q4226355

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Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)

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On the martingale property of stochastic exponentials

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Q4115872

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Identifiers

zbMATH Open document ID

1237.60032

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DOI

10.1016/j.spa.2010.11.015

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:550153

@@ Property / review text @@
+The authors characterize the martingale property of exponential affine processes. Deterministic necessary and sufficient conditions are given in terms of the related admissible parameters of the process. Using an ODE comparison result in a general non-Lipschitz setting the authors furthermore provide necessary and sufficient conditions for an affine process to be conservative. This leads to the applicability of semimartingale calculus for affine processes.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G44
@@ Property / Mathematics Subject Classification ID: 60G44 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J25
@@ Property / Mathematics Subject Classification ID: 60J25 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J75
@@ Property / Mathematics Subject Classification ID: 60J75 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5918974
@@ Property / zbMATH DE Number: 5918974 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+affine processes
@@ Property / zbMATH Keywords: affine processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+exponential martingales
@@ Property / zbMATH Keywords: exponential martingales / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+martingale property
@@ Property / zbMATH Keywords: martingale property / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+conservative processes
@@ Property / zbMATH Keywords: conservative processes / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2090030427
@@ Property / OpenAlex ID: W2090030427 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.3632
@@ Property / arXiv ID: 0910.3632 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2763657
@@ Property / cites work: Q2763657 / rank @@
+Normal rank
@@ Property / cites work @@
+On exponential local martingales associated with strong Markov continuous local martingales
+Normal rank
@@ Property / cites work @@
+Equivalent and absolutely continuous measure changes for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+Families of Consistent Probability Measures
@@ Property / cites work: Families of Consistent Probability Measures / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage possibilities in Bessel processes and their relations to local martingales
+Normal rank
@@ Property / cites work @@
+No arbitrage condition for positive diffusion price processes
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q3925594
@@ Property / cites work: Q3925594 / rank @@
+Normal rank
@@ Property / cites work @@
+A general characterization of one factor affine term structure models
+Normal rank
@@ Property / cites work @@
+The exit measure of a supermartingale
@@ Property / cites work: The exit measure of a supermartingale / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+$\sigma$-Localization and $\sigma$-Martingales
@@ Property / cites work: $\sigma$-Localization and $\sigma$-Martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Exponentially affine martingales, affine measure changes and exponential moments of affine processes
+Normal rank
@@ Property / cites work @@
+The cumulant process and Esscher's change of measure
+Normal rank
@@ Property / cites work @@
+Affine processes are regular
@@ Property / cites work: Affine processes are regular / rank @@
+Normal rank
@@ Property / cites work @@
+Sur l'int�grabilit� uniforme des martingales exponentielles
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)
+Normal rank
@@ Property / cites work @@
+On the martingale property of stochastic exponentials
+Normal rank
@@ Property / cites work @@
+Q4115872
@@ Property / cites work: Q4115872 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:550153