A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH-JARROW-MORTON FRAMEWORKS

摘要

We show that for time-inhomogeneous Markovian Heath-Jarrow-Morton models driven by an infinite-dimensional Brownian motion and a Poisson random measure an equivalent change of measure exists whenever the real-world and the risk-neutral dynamics can be defined uniquely and are related via a drift and a jump condition.