Article ID Journal Published Year Pages File Type
1155749 Stochastic Processes and their Applications 2011 15 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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