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arXiv · 1205.2244

Exponential martingales and changes of measure for counting processes

Alexander Sokol·Niels Richard Hansen
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Abstract

We give sufficient criteria for the Dol\'eans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are adapted particularly to the case of counting processes and are sufficiently weak to be useful and verifiable, as we illustrate by several examples. In particular, the criteria allow for the construction of for example nonexplosive Hawkes processes as well as counting processes with stochastic intensities depending on diffusion processes.

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Alexander Sokol, Niels Richard Hansen. 2012-05-10. Exponential martingales and changes of measure for counting processes. https://doi.org/10.1080/07362994.2015.1040890

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