Minimal Hellinger martingale measures of order \(q\)

DOI10.1007/s00780-007-0039-3zbMath1164.60035OpenAlexW1971132156MaRDI QIDQ1003340

Jia Li, Tahir Choulli, Christophe Stricker

Publication date: 28 February 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-007-0039-3

zbMATH Keywords

utility maximizationexpected power utilityminimal Hellinger martingale measuresemimartingale framework

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Large deviations (60F10)

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