{"paper":{"title":"Equivalent martingale measures for L\\'evy-driven moving averages and related processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Andreas Basse-O'Connor, Jan Pedersen, Mikkel Slot Nielsen","submitted_at":"2017-04-27T13:19:13Z","abstract_excerpt":"In the present paper we obtain sufficient conditions for the existence of equivalent martingale measures for L\\'{e}vy-driven moving averages and other non-Markovian jump processes. The conditions that we obtain are, under mild assumptions, also necessary. For instance, this is the case for moving averages driven by an $\\alpha$-stable L\\'{e}vy process with $\\alpha \\in (1,2]$.\n  Our proofs rely on various techniques for showing the martingale property of stochastic exponentials."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1704.08553","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}