<div class="csl-bib-body">
<div class="csl-entry">Lee, Y., & Rheinländer, T. (2023). On the cumulant transforms for Hawkes processes. <i>Journal of Applied Probability</i>, <i>60</i>(2), 528–541. https://doi.org/10.1017/jpr.2022.96</div>
</div>
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dc.identifier.issn
0021-9002
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/198041
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dc.description.abstract
We consider the asset price as the weak solution to a stochastic differential equation driven by both a Brownian motion and the counting process martingale whose predictable compensator follows shot-noise and Hawkes processes. In this framework, we discuss the Esscher martingale measure where the conditions for its existence are detailed. This generalizes certain relationships not yet encountered in the literature.
