On jump-diffusion processes with regime switching: martingale approach

被引：0

作者：

Di Crescenzo, Antonio ^{[1
]}

Ratanov, Nikita ^{[2
]}

机构：

[1] Univ Salerno, Dipartimento Matemat, Via Giovanni Paolo 2,132, I-84084 Fisciano, SA, Italy

[2] Univ Rosario, Fac Econ, Bogota, Colombia

来源：

ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS | 2015年 / 12卷 / 02期

关键词：

jump-telegraph process; jump-diffusion process; martingales; relative entropy; financial modelling; TELEGRAPH PROCESSES; MODEL;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these processes by means of the relative entropy. The minimal entropy approach is also developed. It is shown that in contrast to the case of Levy processes, for this model an Esscher transformation does not produce the minimal relative entropy.

引用

页码：573 / 596

页数：24

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