On jump-diffusion processes with regime switching: Martingale approach

"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 contra...

Descripción completa

Detalles Bibliográficos
Autores Principales: di Crescenzo A., Ratanov N.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Instituto Nacional de Matematica Pura e Aplicada 2015
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/24007