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Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes

Authors
  • Filipovic, Damir
  • Cheridito, P.
  • Yor, M.
Publication Date
Jan 01, 2005
Source
Infoscience @ EPFL
Keywords
License
Unknown
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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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