most citedEquivalent and absolutely continuous measure changes for jump-diffusion processes

103 citations · 107 across the 2 of their papers we have counts for

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math.PR2005★ 4 cited

Second order backward stochastic differential equations and fully non-linear parabolic PDEs

Patrick Cheridito, H. Mete Soner, Nizar Touzi +1

We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic repres…

math.PR2005★ 103 cited

Equivalent and absolutely continuous measure changes for jump-diffusion processes

Patrick Cheridito, Damir Filipovic, Marc Yor

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 pote…