On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
type: Item
instance of: scholarly article
title: On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
zbMATH Open document ID: 0965.60059
DOI: 10.1016/S0167-7152(99)00085-1
author: W. Stummer
published in: Statistics \& Probability Letters
publication date: 2001-08-02T00:00:00Z
review text: The author investigates properties of processes \(X_t\) which are weak solutions of multidimensional stochastic differential equations of the form \(dX_t=b (t,X_t) dt+dW_t\). It is shown that, under certain non-stochastic conditions, the solution \(X_t\) itself satisfies a uniform Novikov property. Consequently, it will follow that under these assumptions the no arbitrage property of \(X_t\) can be obtained by applying the Girsanov theorem twice (in reverse direction). For the sake of illustration, some examples with exploding drifts \(b\) are presented.
reviewed by: O.Brockhaus
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60G46
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 1395079
MaRDI profile type: Publication
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Wikidata QID: Q126465326
full work available at URL: s0167-7152(99)00085-1
OpenAlex ID: W1985013157
description: scientific article; zbMATH DE number 1395079