2007.175: The cumulant process and Esscher's change of measure
2007.175: Jan Kallsen and Albert N. Shiryaev (2002) The cumulant process and Esscher's change of measure. Finance and Stochastics, 6 (4). pp. 397-428. ISSN 1432-1122
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Abstract
In this paper two kinds of cumulant processes are studied in a general setting. These processes generalize the cumulant of an infinitely divisible random variable and they appear as the exponential compensator of a semimartingale. In a financial context cumulant processes lead to a generalized Esscher transform. We also provide some new criteria for uniform integrability of exponential martingales.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Cumulant process, stochastic logarithm, exponential transform, exponential compensator, exponentially special semimartingale, Esscher transform, uniform integrability |
| Subjects: | MSC 2000 > 60 Probability theory and stochastic processes MSC 2000 > 91 Game theory, economics, social and behavioral sciences |
| MIMS number: | 2007.175 |
| Deposited By: | Mrs Louise Healey |
| Deposited On: | 19 November 2007 |
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