A characterization of the martingale property of exponentially affine processes

Eberhard Mayerhofer; Johannes Muhle-Karbe; Alexander G. Smirnov

doi:10.1016/j.spa.2010.11.015

A characterization of the martingale property of exponentially affine processes

Eberhard Mayerhofer, Johannes Muhle-Karbe, Alexander G. Smirnov

Research output: Contribution to journal › Article › peer-review

Abstract

We consider local martingales of exponential form M=eX or E(X) 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.

Original language	English
Pages (from-to)	568-582
Number of pages	15
Journal	Stochastic Processes and their Applications
Volume	121
Issue number	3
DOIs	https://doi.org/10.1016/j.spa.2010.11.015
Publication status	Published - Mar 2011
Externally published	Yes

Keywords

Affine processes
Conservative processes
Exponential martingales
Semimartingale characteristics

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10.1016/j.spa.2010.11.015

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AU - Muhle-Karbe, Johannes

AU - Smirnov, Alexander G.

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AB - We consider local martingales of exponential form M=eX or E(X) 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.

KW - Affine processes

KW - Conservative processes

KW - Exponential martingales

KW - Semimartingale characteristics

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JO - Stochastic Processes and their Applications

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A characterization of the martingale property of exponentially affine processes

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Keywords

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