On the minimal martingale measure and the möllmer-schweizer decomposition (Q4859232)
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scientific article; zbMATH DE number 828725
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the minimal martingale measure and the möllmer-schweizer decomposition |
scientific article; zbMATH DE number 828725 |
Statements
On the minimal martingale measure and the möllmer-schweizer decomposition (English)
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20 May 1996
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martingale density
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relative entropy
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martingale measure
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Föllmer- Schweizer decomposition
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