Minimal entropy preserves the Lévy property: how and why

DOI10.1016/j.spa.2004.05.009zbMath1075.60049MaRDI QIDQ2485828

Martin Schweizer, Felix Esche

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.05.009

zbMATH Keywords

Lévy processes; Incomplete markets; Minimal entropy martingale measure

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G48: Generalizations of martingales

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