The cumulant process and Esscher's change of measure
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Publication:1424691
DOI10.1007/s007800200069zbMath1035.60042MaRDI QIDQ1424691
Jan Kallsen, Albert N. Shiryaev
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://eprints.maths.manchester.ac.uk/912/1/The_cumulant.pdf
uniform integrability; Esscher transform; exponential transform; cumulant process; exponential compensator; exponentially special semimartingale; stochastic logarithm
91B24: Microeconomic theory (price theory and economic markets)
60G48: Generalizations of martingales
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