Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process (Q5086497)
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scientific article; zbMATH DE number 7553645
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| English | Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process |
scientific article; zbMATH DE number 7553645 |
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Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process (English)
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5 July 2022
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relative entropy
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minimal-entropy martingale measure
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low-discrepancy sequence
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exponential Lévy process
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0.7651304602622986
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0.7644447684288025
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0.7640061974525452
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0.7615336775779724
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0.7499236464500427
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