A characterization of the martingale property of exponentially affine processes (Q550153)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A characterization of the martingale property of exponentially affine processes |
scientific article |
Statements
A characterization of the martingale property of exponentially affine processes (English)
0 references
8 July 2011
0 references
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.
0 references
affine processes
0 references
exponential martingales
0 references
martingale property
0 references
conservative processes
0 references
0 references
0 references
