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arXiv · 1609.02718

A note on the Esscher transform of affine Markov processes

Eberhard Mayerhofer
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Abstract

In affine models, both the martingale property of stochastic exponentials and non-explosion of affine processes is characterized in terms of minimality of solutions to a system of generalized Riccati differential equations. This is the final improvement of previous results by Duffie, Filipovic and Schachermayer (2003), Mayerhofer, Muhle-Karbe and Smirnov (2011) and Keller-Ressel and Mayerhofer (2015) for processes on canonical state spaces.

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Eberhard Mayerhofer. 2016-09-09. A note on the Esscher transform of affine Markov processes. https://arxiv.org/abs/1609.02718

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