On the minimal martingale measure and the möllmer-schweizer decomposition (Q4859232)
From MaRDI portal
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)
0 references
20 May 1996
0 references
martingale density
0 references
relative entropy
0 references
martingale measure
0 references
Föllmer- Schweizer decomposition
0 references
0 references
0 references
