英文标题：
《Simple examples of pure-jump strict local martingales》
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作者：
Martin Keller-Ressel
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最新提交年份：
2015
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英文摘要：
We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an integral criterion and by non-uniqueness of an associated ordinary differential equation. Finally we show an alternative construction for our examples by an absolutely continuous measure change in the spirit of (Delbaen and Schachermayer, PTRF 1995).
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中文摘要：
我们给出了纯跳严格局部鞅的简单新例子。这些例子被构造成自激仿射马尔可夫过程的指数。我们用积分准则和相关常微分方程的非唯一性刻画了这些过程的严格局部鞅性质。最后，我们以绝对持续的度量变化为例展示了一种替代结构（Delbaen和Schachermayer，PTRF 1995）。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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