The cumulant process and Esscher's change of measure
Year of publication: |
2002-08-19
|
---|---|
Authors: | Shiryaev, Albert N. ; Kallsen, Jan |
Published in: |
Finance and Stochastics. - Springer. - Vol. 6.2002, 4, p. 397-428
|
Publisher: |
Springer |
Subject: | Cumulant process | stochastic logarithm | exponential transform | exponential compensator | exponentially special semimartingale | Esscher transform | uniform integrability |
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