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

Jan Kallsen and Johannes Muhle-Karbe

Stochastic Processes and their Applications, 2010, vol. 120, issue 2, 163-181

Abstract: We consider local martingales of exponential form or , 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.

Keywords: Affine; processes; Exponential; martingale; Uniform; integrability; Change; of; measure; Exponential; moments; Generalized; Riccati; equation (search for similar items in EconPapers)
Date: 2010
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Handle: RePEc:eee:spapps:v:120:y:2010:i:2:p:163-181