Absolute continuity of semimartingales

DOI10.1214/18-EJP238zbMath1406.60062arXiv1706.04944MaRDI QIDQ1722022

Kathrin Glau, David Criens

Publication date: 14 February 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.04944

zbMATH Keywords

change of measureGirsanov's theoremmartingale problemsemimartingaleexplosionabsolute continuity of laws

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Related Items (4)

On the existence of semimartingales with continuous characteristics ⋮ No arbitrage in continuous financial markets ⋮ A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS ⋮ On absolute continuity and singularity of multidimensional diffusions

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