A characterization of the martingale property of exponentially affine processes

DOI10.1016/J.SPA.2010.11.015zbMATH Open1237.60032arXiv0910.3632OpenAlexW2090030427MaRDI QIDQ550153FDOQ550153

Authors: Eberhard Mayerhofer, Johannes Muhle-Karbe, Alexander G. Smirnov 

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We consider local martingales which are standard or stochastic exponentials M of one component X of a multivariate affine process in the sense of Duffie, Filipovic and Schachermayer (2003). By completing their characterization of conservative affine processes, we provide deterministic necessary and sufficient conditions in terms of the parameters of X for M to be a true martingale.

Full work available at URL: https://arxiv.org/abs/0910.3632

Recommendations

• Exponentially affine martingales, affine measure changes and exponential moments of affine processes
• On the martingale property of stochastic exponentials
• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
• On the martingale property of certain local martingales
• When a stochastic exponential is a true martingale. Extension of the Beneš method

zbMATH Keywords

affine processesmartingale propertyconservative processesexponential martingales

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44)

Cites Work

• Probability theory
• Title not available (Why is that?)
• Affine processes and applications in finance
• Title not available (Why is that?)
• Title not available (Why is that?)
• No arbitrage condition for positive diffusion price processes
• The cumulant process and Esscher's change of measure
• On the martingale property of stochastic exponentials
• A general characterization of one factor affine term structure models
• Affine processes are regular
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes
• Sur l'int�grabilit� uniforme des martingales exponentielles
• Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)
• The exit measure of a supermartingale
• On exponential local martingales associated with strong Markov continuous local martingales
• $\sigma$-Localization and $\sigma$-Martingales
• Title not available (Why is that?)
• Families of Consistent Probability Measures

Cited In (18)

• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
• Affine processes on symmetric cones
• On the martingale property of certain local martingales
• Stochastic explosion and non-uniqueness for \(\alpha\)-Riccati equation
• Affine processes on positive semidefinite matrices
• Optimal portfolios when variances and covariances can jump
• On the martingale property in stochastic volatility models based on time-homogeneous diffusions
• Weak tail conditions for local martingales
• Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)
• Martingale property of empirical processes
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
• Existence of limiting distribution for affine processes
• Exponential moments of affine processes
• Linearized filtering of affine processes using stochastic Riccati equations
• Geometric ergodicity of affine processes on cones
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
• Simple examples of pure-jump strict local martingales

This page was built for publication: A characterization of the martingale property of exponentially affine processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q550153)