Equivalent and absolutely continuous measure changes for jump-diffusion processes

Annals of Applied Probability

Volumn 15, Issue 3, 2005, Pages 1713-1732

  Cheridito, Patrick ^a   Filipović, Damir ^b   Yor, Marc ^c  

^a Princeton University   (United States)

^b UNIVERSITY OF MUNICH   (Germany)

^c SORBONNE UNIVERSITÉ   (France)

Author keywords

Absolutely continuous measure; Carr du champ operator; Change of measure; Equivalent measure; Jump diffusion processes

Indexed keywords

EID: 32144449613     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/105051605000000197     Document Type: Review

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