A note on the existence of unique equivalent martingale measures in a Markovian setting

DOI10.1007/s007800050024zbMath0917.60047OpenAlexW2021764764MaRDI QIDQ1267819

Tina Hviid Rydberg

Publication date: 12 July 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050024

zbMATH Keywords

stochastic differential equationequivalent martingale measureexplosion timehyperbolic diffusion process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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