Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702): Difference between revisions
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| Property / Mathematics Subject Classification ID: 60G44 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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| Property / zbMATH DE Number: 6381305 / rank | |||
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Lévy process | |||
| Property / zbMATH Keywords: Lévy process / rank | |||
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time change | |||
| Property / zbMATH Keywords: time change / rank | |||
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subordination | |||
| Property / zbMATH Keywords: subordination / rank | |||
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generalized relative entropy | |||
| Property / zbMATH Keywords: generalized relative entropy / rank | |||
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martingale measures | |||
| Property / zbMATH Keywords: martingale measures / rank | |||
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Revision as of 19:58, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes |
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Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (English)
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17 December 2014
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Lévy process
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time change
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subordination
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generalized relative entropy
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martingale measures
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