A characterization of the martingale property of exponentially affine processes (Q550153): Difference between revisions
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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. | |||
| 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G44 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J25 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5918974 / rank | |||
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| Property / zbMATH Keywords | |||
affine processes | |||
| Property / zbMATH Keywords: affine processes / rank | |||
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| Property / zbMATH Keywords | |||
exponential martingales | |||
| Property / zbMATH Keywords: exponential martingales / rank | |||
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| Property / zbMATH Keywords | |||
martingale property | |||
| Property / zbMATH Keywords: martingale property / rank | |||
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| Property / zbMATH Keywords | |||
conservative processes | |||
| Property / zbMATH Keywords: conservative processes / rank | |||
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Revision as of 13:26, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A characterization of the martingale property of exponentially affine processes |
scientific article |
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A characterization of the martingale property of exponentially affine processes (English)
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8 July 2011
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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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affine processes
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exponential martingales
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martingale property
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conservative processes
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