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math.PR2017
Scaling Limits of Processes with Fast Nonlinear Mean Reversion
Thomas Cayé, Martin Herdegen, Johannes Muhle-Karbe
We derive scaling limits for integral functionals of Itô processes with fast nonlinear mean-reversion speed. We show that in these limits, the fast mean-reverting process is "avera…
math.PR2009
A characterization of the martingale property of exponentially affine processes
Eberhard Mayerhofer, Johannes Muhle-Karbe, Alexander G. Smirnov
We consider local martingales which are standard or stochastic exponentials M of one component X of a multivariate affine process in the sense of Duffie, Filipovic and Schachermaye…