Blanchet, Jose and Ruf, Johannes ORCID: 0000-0003-3616-2194
(2015)
A weak convergence criterion for constructing changes of measure.
Stochastic Models, 32 (2).
pp. 233-252.
ISSN 1532-6349
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 |
Date Deposited: | 11 Oct 2017 09:44 |
Last Modified: | 12 Jun 2024 16:24 |
URI: | http://eprints.lse.ac.uk/id/eprint/84577 |
Actions (login required)
![]() |
View Item |