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Equivalent and absolutely continuous measure changes for jump-diffusion processes

Patrick Cheridito·Damir Filipovic·Marc Yor
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Abstract

We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential.

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Patrick Cheridito, Damir Filipovic, Marc Yor. 2005-08-24. Equivalent and absolutely continuous measure changes for jump-diffusion processes. https://doi.org/10.1214/105051605000000197

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