The cumulant process and Esscher's change of measure

DOI10.1007/s007800200069zbMath1035.60042OpenAlexW2016370513MaRDI QIDQ1424691

Publication date: 16 March 2004

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

Full work available at URL: http://eprints.maths.manchester.ac.uk/912/1/The_cumulant.pdf

zbMATH Keywords

uniform integrability Esscher transform exponential transform cumulant process exponential compensator exponentially special semimartingale stochastic logarithm

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48)

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