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• W3136198329 abstract "Abstract It is generally understood that a given one-dimensional diffusion may be transformed by a Cameron–Martin–Girsanov measure change into another one-dimensional diffusion with the same volatility but a different drift. But to achieve this, we have to know that the change-of-measure local martingale that we write down is a true martingale. We provide a complete characterisation of when this happens. This enables us to discuss the absence of arbitrage in a generalised Heston model including the case where the Feller condition for the volatility process is violated." @default.
• W3136198329 created "2021-03-29" @default.
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• W3136198329 date "2021-03-17" @default.
• W3136198329 modified "2023-09-25" @default.
• W3136198329 title "Change of drift in one-dimensional diffusions" @default.
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• W3136198329 doi "https://doi.org/10.1007/s00780-021-00451-w" @default.
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