Equivalent martingale measures for Levy-driven moving averages and related processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:128

Article

Basse-O'Connor, Andreas¹  Nielsen, Mikkel Slot¹  Pedersen, Jan¹ 

[1] Aarhus Univ, Dept Math, Aarhus, Denmark

关键词: Equivalent local martingale measures;    Moving averages;    Levy processes;    Stochastic exponentials;    Infinite divisibility;   

DOI  :  10.1016/j.spa.2017.09.022

来源: Elsevier

【 摘 要 】

In the present paper we obtain sufficient conditions for the existence of equivalent local martingale measures for Levy-driven moving averages and other non-Markovian jump processes. The conditions that we obtain are, under mild assumptions, also necessary. For instance, this is the case for moving averages driven by an a-stable Levy process with alpha is an element of (1, 2]. Our proofs rely on various techniques for showing the martingale property of stochastic exponentials. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

Free