Exponentially affine martingales, affine measure changes and exponential moments of affine processes

被引：39
|
作者：
Kallsen, Jan [1 ]
Muhle-Karbe, Johannes [2 ]
机构：
[1] Univ Kiel, D-24098 Kiel, Germany
[2] Univ Vienna, Fak Math, A-1090 Vienna, Austria
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2010年 / 120卷 / 02期
关键词：
Affine processes; Exponential martingale; Uniform integrability; Change of measure; Exponential moments; Generalized Riccati equation; STOCHASTIC VOLATILITY; MODELS;
D O I：
10.1016/j.spa.2009.10.012
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider local martingales of exponential form M = e(x) or E(X), where X denotes one component of a multivariate affine process. We give a weak sufficient criterion for M to be a true martingale. As a first application, we derive a simple sufficient condition for absolute continuity of the laws of two given affine processes. As a second application, we study whether the exponential moments of an affine process solve a generalized Riccati equation. (C) 2009 Elsevier B.V. All rights reserved.
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页码：163 / 181
页数：19
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