Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155749 | Stochastic Processes and their Applications | 2011 | 15 Pages |
Abstract
We consider local martingales of exponential form M=eX or E(X)E(X) where XX denotes one component of a multivariate affine process in the sense of Duffie et al. (2003) [8]. By completing the characterization of conservative affine processes in [8, Section 9], we provide deterministic necessary and sufficient conditions in terms of the parameters of XX for MM to be a true martingale.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Eberhard Mayerhofer, Johannes Muhle-Karbe, Alexander G. Smirnov,