Equivalent and absolutely continuous measure changes for jump-diffusion processes

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.

Published at http://dx.doi.org/10.1214/105051605000000197 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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