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Change of measure in the lookdown particle system
Doob h-transform Fleming Viot process Wright Fisher diffusion Superprocesses Lookdown particle system
2012/4/18
We perform various changes of measure in the lookdown particle system of Donnelly and Kurtz. The first example is a product type h-transform related to conditioning a Generalized Fleming Viot process ...
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
Market Price Risk Random Field Driven Models Term Structure
2010/10/20
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models rest...