Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes (Q6202389)
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scientific article; zbMATH DE number 7824418
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| English | Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes |
scientific article; zbMATH DE number 7824418 |
Statements
Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes (English)
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26 March 2024
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controlled Lévy-Itô processes
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Kullback-Leibler divergence
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risk management
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optimal probability measures
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