pith. sign in

arxiv: 1508.04533 · v2 · pith:AJWNDSKJnew · submitted 2015-08-19 · 🧮 math.PR

On jump-diffusion processes with regime switching: martingale approach

classification 🧮 math.PR
keywords processesentropyapproachjump-diffusionmartingaleminimalrelativeswitching
0
0 comments X
read the original abstract

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 L\'evy processes, for this model an Esscher transformation does not produce the minimal relative entropy.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.