A characterization of the martingale property of exponentially affine processes

Stochastic Processes and their Applications

Volumn 121, Issue 3, 2011, Pages 568-582

  Mayerhofer, Eberhard ^a   Muhle Karbe, Johannes ^b   Smirnov, Alexander G ^c  

^a UNIVERSITY OF VIENNA   (Austria)

^b ETH ZURICH   (Switzerland)

^c LEBEDEV PHYSICAL INSTITUTE   (Russian Federation)

Author keywords

Affine processes; Conservative processes; Exponential martingales; Semimartingale characteristics

Indexed keywords

AFFINE PROCESS; CONSERVATIVE PROCESSES; EXPONENTIAL FORM; EXPONENTIAL MARTINGALES; SEMIMARTINGALES; SUFFICIENT CONDITIONS;

EID: 78751578996     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2010.11.015     Document Type: Article

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