Optimal equivalent probability measures under enlarged filtrations (Q2278882)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal equivalent probability measures under enlarged filtrations |
scientific article |
Statements
Optimal equivalent probability measures under enlarged filtrations (English)
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11 December 2019
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stochastic optimization problem
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stochastic maximum/minimum principle
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relative entropy
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Radon-Nikodym density
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Lévy process
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enlarged filtration
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stochastic differential equation
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