Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s00780-010-0133-9 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2142054588 / rank | |||
Normal rank | |||
Revision as of 22:39, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes |
scientific article |
Statements
Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (English)
0 references
17 December 2014
0 references
Lévy process
0 references
time change
0 references
subordination
0 references
generalized relative entropy
0 references
martingale measures
0 references
