On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift

Wolfgang Stummer

Statistics & Probability Letters, 2000, vol. 46, issue 1, 43-51

Abstract: We investigate properties of processes Xt which are weak solutions of multidimensional stochastic differential equations of the formdXt=b(t,Xt) dt+dWt.We show that under certain non-stochastic conditions the solution Xt itself satisfies a uniform Novikov property. Consequently, it will follow that under these assumptions the no arbitrage property of Xt can be obtained by applying the Girsanov theorem twice (in reverse directions). For the sake of illustration, some examples with exploding drifts b are presented.

Keywords: Multidimensional; stochastic; differential; equations; Novikov; condition; No; arbitrage (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(99)00085-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:46:y:2000:i:1:p:43-51

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().