Abstract
In the present paper we obtain sufficient conditions for the existence of equivalent local martingale measures for Lévy-driven moving averages and other non-Markovian jump processes. The conditions that we obtain are, under mild assumptions, also necessary. For instance, this is the case for moving averages driven by an α-stable Lévy process with α∈(1,2].Our proofs rely on various techniques for showing the martingale property of stochastic exponentials.
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