Equivalent and absolutely continuous measure changes for jump-diffusion processes

Details Equivalent and absolutely continuous measure changes for jump-diffusion processes Equivalent and absolutely continuous measure changes for jump-diffusion processes

2005-08-24

arxiv.org/abs/math/0508450v1

Annals of Applied Probability 2005, Vol. 15, No. 3, 1713-1732

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051605000000197 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051605000000197

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.

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