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Equivalent and absolutely continuous measure changes for jump-diffusion processes

Annals of Applied Probability
DOI: 10.1214/105051605000000197
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Abstract

We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential. © Institute of Mathematical Statistics, 2005.

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Cheridito, P., Filipović, D., & Yor, M. (2005, August). Equivalent and absolutely continuous measure changes for jump-diffusion processes. Annals of Applied Probability. https://doi.org/10.1214/105051605000000197

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