Equivalent-martingale-measures-for-L-vy-driven-_2017_Stochastic-Processes-an.Image.Marked资料.pdf
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Equivalent-martingale-measures-for-L-vy-driven-_2017_Stochastic-Processes-an.Image.Marked资料
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Stochastic Processes and their Applications ( ) –
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Equivalent martingale measures for Lévy-driven
moving averages and related processes
∗
Andreas Basse-O’Connor, Mikkel Slot Nielsen , Jan Pedersen
Department of Mathematics, Aarhus University, Denmark
Received 16 December 2016; received in revised form 11 September 2017; accepted 25 September 2017
Available online xxxx
Abstract
In the present paper we obtain sufficient conditions for the existence of equivalent local martingale
measures for Lévy-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 α-stable Lévy process with α ∈ (1, 2].
Our proofs rely on various techniques for showing the martingale property of stochastic exponentials.
c
⃝ 2017 Elsevier B.V. All rights reserved.
MSC: 60E07; 60G10; 60G51; 60G57; 60H05
Keywords: Equivalent local martingale measures; Moving averages; Lévy processes; Stochastic exponentials; Infinite
divisibility
1. Introduction and a main result
Absolutely continuous change of measure for stochastic processes is a classical problem in
probability theory and there is a vast literature devoted to it. One motivation is the fundamental
theorem of asset pricing, see Delbaen and Schachermayer [ 12], which relates existence of an
equivalent local martingale measure to absence of arbitrage (or, more precisely, to the con
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