A note on the existence of unique equivalent martingale measures in a Markovian setting
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Publication:1267819
DOI10.1007/s007800050024zbMath0917.60047OpenAlexW2021764764MaRDI QIDQ1267819
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
stochastic differential equationequivalent martingale measureexplosion timehyperbolic diffusion process
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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