Equivalent-martingale-measures-for-L-vy-driven-_2017_Stochastic-Processes-an.Image.Marked资料.pdfVIP

Available online at ScienceDirect Stochastic Processes and their Applications ( ) – /locate/spa 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