On jump-diffusion processes with regime switching: martingale approach

zbMath1331.60170arXiv1508.04533MaRDI QIDQ3465401

Nikita E. Ratanov, Antonio Di Crescenzo

Publication date: 21 January 2016

Full work available at URL: https://arxiv.org/abs/1508.04533

zbMATH Keywords

relative entropymartingalesjump-diffusion processjump-telegraph processfinancial modeling

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (3)

Some results on the telegraph process driven by gamma components ⋮ Option pricing under jump-diffusion processes with regime switching ⋮ First crossing times of telegraph processes with jumps

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