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A characterization of the martingale property of exponentially affine processes

We consider local martingales of exponential form or where X denotes one component of a multivariate affine process in the sense of Duffie et al. (2003) [8]. By completing the characterization of conservative affine processes in [8, Section 9], we provide deterministic necessary and sufficient conditions in terms of the parameters of X for M to be a true martingale.
Year of publication:
2011
Authors: Mayerhofer, Eberhard ; Muhle-Karbe, Johannes ; Smirnov, Alexander G.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 3, p. 568-582
Publisher: Elsevier
Keywords: Exponential martingales Affine processes Semimartingale characteristics Conservative processes
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874844
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