Mathematics – Probability
Scientific paper
2005-08-24
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.
Cheridito Patrick
Filipovic Damir
Yor Marc
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