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A weak convergence criterion for constructing changes of measure

Blanchet, Jose and Ruf, Johannes (2015) A weak convergence criterion for constructing changes of measure. Stochastic Models, 32 (2). pp. 233-252. ISSN 1532-6349

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Identification Number: 10.1080/15326349.2015.1114891

Abstract

Based on a weak convergence argument, we provide a necessary and sufficient condition that guarantees that a nonnegative local martingale is indeed a martingale. Typically, conditions of this sort are expressed in terms of integrability conditions (such as the well-known Novikov condition). The weak convergence approach that we propose allows to replace integrability conditions by a suitable tightness condition. We then provide several applications of this approach ranging from simplified proofs of classical results to characterizations of processes conditioned on first passage time events and changes of measures for jump processes.

Item Type: Article
Official URL: http://www.tandfonline.com/toc/lstm20/current
Additional Information: © 2016 Taylor & Francis
Divisions: Mathematics
Subjects: Q Science > QA Mathematics
Sets: Departments > Mathematics
Date Deposited: 11 Oct 2017 09:44
Last Modified: 20 Apr 2019 01:21
URI: http://eprints.lse.ac.uk/id/eprint/84577

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