Equivalent and absolutely continuous measure changes for jump-diffusion processes
暂无分享,去创建一个
[1] Kiyosi Itô,et al. Transformation of Markov processes by multiplicative functionals , 1965 .
[2] D. Dawson. Equivalence of Markov processes , 1968 .
[3] Hiroshi Kunita,et al. Absolute Continuity of Markov Processes and Generators , 1969, Nagoya Mathematical Journal.
[4] L. A. Shepp,et al. Conditions for absolute continuity between a certain pair of probability measures , 1970 .
[5] A. Novikov. On an Identity for Stochastic Integrals , 1973 .
[6] H. Kunita. Absolute continuity of Markov processes , 1976 .
[7] N. Kazamaki,et al. On a problem of Girsanov , 1977 .
[8] D. Lépingle,et al. Sur l'intégrabilité uniforme des martingales exponentielles , 1978 .
[9] F. Beaufils,et al. FRANCE , 1979, The Lancet.
[10] L. Rogers,et al. Diffusions, Markov processes, and martingales , 1979 .
[11] On absolute continuity of probability measures for markov-itô processes , 1980 .
[12] J. Pitman,et al. A decomposition of Bessel Bridges , 1982 .
[13] A. Shiryaev,et al. Limit Theorems for Stochastic Processes , 1987 .
[14] M. Yor,et al. Continuous martingales and Brownian motion , 1990 .
[15] N. Kazamaki. Continuous Exponential Martingales and Bmo , 1994 .
[16] Tina Hviid Rydberg. A note on the existence of unique equivalent martingale measures in a Markovian setting , 1997, Finance Stochastics.
[17] C. Sin. Complications with stochastic volatility models , 1998, Advances in Applied Probability.
[18] Jaeho Cho. A Theory of the Term Structure of Interest Rates Under Non-expected Intertemporal Preferences , 1998 .
[19] L. Rogers,et al. Complete Models with Stochastic Volatility , 1998 .
[20] Ken-iti Sato. Lévy Processes and Infinitely Divisible Distributions , 1999 .
[21] Zbigniew Palmowski,et al. The technique of the exponential change of measure for Markov processes , 2002 .
[22] Alan L. Lewis. Option Valuation under Stochastic Volatility , 2000 .
[23] M. Yor. Exponential Functionals of Brownian Motion and Related Processes , 2001 .
[24] Jan Kallsen,et al. The cumulant process and Esscher's change of measure , 2002, Finance Stochastics.
[25] F. Delbaen,et al. A Note on Option Pricing for the Constant Elasticity of Variance Model , 2002 .
[26] D. Duffie,et al. Affine Processes and Application in Finance , 2002 .
[27] F. Delbaen,et al. No Arbitrage Condition for Positive Diffusion Price Processes , 2002 .
[28] D. Stroock. Markov processes from K. Itô's perspective , 2003 .
[29] Patrick Cheridito,et al. Market price of risk speci-fications for a ne models: theory and evidence , 2004 .
[30] C. Heyde,et al. On the martingale property of stochastic exponentials , 2004, Journal of Applied Probability.
[31] T. Alderweireld,et al. A Theory for the Term Structure of Interest Rates , 2004, cond-mat/0405293.
[32] Li Chen,et al. A simple model for credit migration and spread curves , 2005, Finance Stochastics.
[33] S. Ethier,et al. Markov Processes: Characterization and Convergence , 2005 .