A characterization of the martingale property of exponentially affine processes

DOI10.1016/j.spa.2010.11.015zbMath1237.60032arXiv0910.3632OpenAlexW2090030427MaRDI QIDQ550153

Johannes Muhle-Karbe, Alexander G. Smirnov, Eberhard Mayerhofer

Publication date: 8 July 2011

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

Full work available at URL: https://arxiv.org/abs/0910.3632

zbMATH Keywords

affine processesmartingale propertyconservative processesexponential martingales

Mathematics Subject Classification ID

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