On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift

DOI10.1016/S0167-7152(99)00085-1zbMath0965.60059OpenAlexW1985013157WikidataQ126465326 ScholiaQ126465326MaRDI QIDQ1962119

Wolfgang Stummer

Publication date: 2 August 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(99)00085-1

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Martingales and classical analysis (60G46)

Related Items (1)

Consistent fitting of one-factor models to interest rate data.

Cites Work

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• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• A general version of the fundamental theorem of asset pricing
• On exponential moments of two Brownian functionals
• On bounded entropy of solutions of multi-dimensional stochastic differential equations
• Continuous Markov processes and stochastic equations
• On Positive Solutions of the Equation $\mathfrak{A}U + Vu = 0$
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Brownian motion and harnack inequality for Schrödinger operators
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• On an Identity for Stochastic Integrals

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