Exponentially affine martingales, affine measure changes and exponential moments of affine processes
AbstractWe consider local martingales of exponential form or , where X denotes one component of a multivariate affine process. We give a weak sufficient criterion for M to be a true martingale. As a first application, we derive a simple sufficient condition for absolute continuity of the laws of two given affine processes. As a second application, we study whether the exponential moments of an affine process solve a generalized Riccati equation.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 120 (2010)
Issue (Month): 2 (February)
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