Equivalent and absolutely continuous measure changes for jump-diffusion processes

DOI10.1214/105051605000000197MaRDI QIDQ2572390zbMATH OpenOpenAlexFDO

Authors Patrick Cheridito, Damir Filipović, Marc Yor

Publication date 8 November 2005

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0508450

zbMATH Keywords

change of measureequivalent measurescarré-du-champ operator

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Continuity and singularity of induced measures (60G30)

Abstract: We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential.

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Cited in

(66)

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• On the martingale property of certain local martingales
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• From Markov processes to semimartingales
• Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information
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• Indifference Pricing and Hedging for Volatility Derivatives
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• A unified approach to pricing and risk management of equity and credit risk

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