A characterization of the martingale property of exponentially affine processes

Details A characterization of the martingale property of exponentially affine processes A characterization of the martingale property of exponentially affine processes

2009-10-19

arxiv.org/abs/0910.3632v3

Stochastic Processes and Their Applications, Volume 21, Issue 3 (2011), pp. 568-582

Mathematics

Probability

16 pages, version to appear in Stochastic Processes and Their Applications, 2010/2011

Scientific paper

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.

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