✦ LIBER ✦
On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
✍ Scribed by Wolfgang Stummer
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 103 KB
- Volume
- 46
- Category
- Article
- ISSN
- 0167-7152
No coin nor oath required. For personal study only.
✦ Synopsis
We investigate properties of processes Xt which are weak solutions of multidimensional stochastic di erential equations of the form
We show that under certain non-stochastic conditions the solution Xt itself satisÿes a uniform Novikov property. Consequently, it will follow that under these assumptions the no arbitrage property of Xt can be obtained by applying the Girsanov theorem twice (in reverse directions). For the sake of illustration, some examples with exploding drifts b are presented.