On absolute continuity and singularity of multidimensional diffusions

DOI10.1214/20-EJP555zbMath1480.60233arXiv2005.02276OpenAlexW3124804511MaRDI QIDQ2042787

Publication date: 21 July 2021

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

Full work available at URL: https://arxiv.org/abs/2005.02276

zbMATH Keywords

singularity random time change absolute continuity explosion integral test multidimensional diffusion uniformly integrable martingale perpetual integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Calcul stochastique et problèmes de martingales
On the martingale property of certain local martingales
Convergence of integral functionals of one-dimensional diffusions
On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients
On multi-dimensional SDEs with locally integrable coefficients
On Kac functionals of one-dimensional diffusions
Recurrence and ergodicity of diffusions
Absolute continuity of semimartingales
Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
Asymptotic stability of Schrödinger semigroups: Path integral methods
No arbitrage in continuous financial markets
Perpetual integrals via random time changes
A note on a.s. finiteness of perpetual integral functionals of diffusions
A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions
Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals
The mathematics of arbitrage
The martingale property in the context of stochastic differential equations
Free states of the canonical anticommutation relations
Equivalent and absolutely continuous measure changes for jump-diffusion processes
Multidimensional diffusion processes.
Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUS-TIME FINANCIAL MARKETS
On the Behaviour of Certain Bessel Functional. An Application to a Class of Stochastic Differential Equations
Foundations of Modern Probability
Complications with stochastic volatility models
DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS
General Arbitrage Pricing Model: I – Probability Approach
Brownian Motion

This page was built for publication: On absolute continuity and singularity of multidimensional diffusions