Equivalent and absolutely continuous measure changes for jump-diffusion processes

By Patrick Cheridito, Damir Filipovi'c, Marc Yor. 2005

149 citations recorded by the source corpus.

We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential.

Subfields: Modeling and Simulation, Molecular Biology, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/d097a058707f5071538fbfae6a8f3191159bfc57

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In Modeling and Simulation

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Citations in the corpus

Exponentially affine martingales, affine measure changes and exponential moments of affine processes (2010, background): “Due to our heavy use of [9], we end up with continuity conditions in the time-inhomogeneous case, whereas [5] only require measurability and a certain uniform boundedness for H and W .”
On strong solutions for positive definite jump diffusions (2009, unknown): “instance, similar (but simpler) arguments as the ones of the proof of Theorem 2.2 yield a rigorous proof of the non-attainment condition formulated in [ 9, Section 6 ] for ane jump-diusions on canonical state spaceRm + Rn. Here one takes g = x1 x2 xm. This topic might be interesting”
On the martingale property of certain local martingales (2009, background): “A random process that is a local martingale but does not satisfy the martingale property is known as a strict local martingale (this terminology was introduced by Elworthy, Li, and Yor [14]).”
Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2005, background): “see for instance, result 7.6.4 in Liptser and Shiryaev [34] or Theorem 2.4 in Cheridito et al. [ 12 ].”