Exponentially affine martingales, affine measure changes and exponential moments of affine processes

DOI10.1016/j.spa.2009.10.012zbMath1185.60045OpenAlexW2038792289MaRDI QIDQ2267544

Johannes Muhle-Karbe, Jan Kallsen

Publication date: 1 March 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.10.012

zbMATH Keywords

uniform integrabilitychange of measuregeneralized Riccati equationexponential momentsaffine processesexponential martingale

Mathematics Subject Classification ID

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