A characterization of the martingale property of exponentially affine processes (Q550153)
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| English | A characterization of the martingale property of exponentially affine processes |
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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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0.870472252368927
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0.8108678460121155
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0.7931569218635559
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0.784746527671814
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0.7681973576545715
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