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2009 Artikel Esscher transform and the duality principle for multidimensional semimartingales

Esscher transform and the duality principle for multidimensional semimartingales. The Annals of Applied Probability 19 (2009), 1944–1971 (with A. Papapantoleon and A. N. Shiryaev)

multidual_090827.pdf — PDF document, 284Kb

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