j****j
发帖数: 270 | 1 Hi all,
I am looking for the Radon-Nikodym derivative when both Brownian Motion and
Poisson Process present? For example, when the Bt and Nt are independent, we
have a Radon-Nikodym derivative which is the product of the RN derivative
of the Brownian Motion part and the RN derivative of the Poisson Process
Part. But what if they are not independent? |
k*******l
发帖数: 69 | 2 don't know what you want to get
the RN derivative of which measure wrt which measure???
possibly u could look at Oksendal's Applied Stochastic Control of Jump
Diffusions, Ch. 1
and
we
【在 j****j 的大作中提到】
: Hi all,
: I am looking for the Radon-Nikodym derivative when both Brownian Motion and
: Poisson Process present? For example, when the Bt and Nt are independent, we
: have a Radon-Nikodym derivative which is the product of the RN derivative
: of the Brownian Motion part and the RN derivative of the Poisson Process
: Part. But what if they are not independent?
|
j****j
发帖数: 270 | 3 say by changing of measure, you can get rid of the drift of the brown motion
, and you can change the intensity of the poisson process, ...
【在 k*******l 的大作中提到】
: don't know what you want to get
: the RN derivative of which measure wrt which measure???
: possibly u could look at Oksendal's Applied Stochastic Control of Jump
: Diffusions, Ch. 1
:
: and
: we
|
k*******l
发帖数: 69 | 4 that's what i was asking, what measure are you changing into? risk-neutral?
forward-measure? or other numeraire-denominated measures? or if u r not in
quant finance, then u r probably asking for other things.
i don't know what to say. check out the book (chapter 1) i recommended in my
previous post.
motion
【在 j****j 的大作中提到】
: say by changing of measure, you can get rid of the drift of the brown motion
: , and you can change the intensity of the poisson process, ...
|
j****j
发帖数: 270 | 5 It really doesn't matter. RN is a very useful notion that applies in many
fields. I am looking for very general treatment about change-of-measure, not
specific to finance. Thanks
?
my
【在 k*******l 的大作中提到】
: that's what i was asking, what measure are you changing into? risk-neutral?
: forward-measure? or other numeraire-denominated measures? or if u r not in
: quant finance, then u r probably asking for other things.
: i don't know what to say. check out the book (chapter 1) i recommended in my
: previous post.
:
: motion
|
k*******l
发帖数: 69 | 6 whatever
if u knew what Radon-Nikodym derivative means, u would understand why i was
asking that. and the book contains change of measure for Levy processes
not
【在 j****j 的大作中提到】
: It really doesn't matter. RN is a very useful notion that applies in many
: fields. I am looking for very general treatment about change-of-measure, not
: specific to finance. Thanks
:
: ?
: my
|
j****j
发帖数: 270 | 7 You sure it talks about change-of-measure when BM and Poisson are not
independent? Thanks! |
