An Information Geometry Problem in Mathematical Finance

DOI10.1007/978-3-319-25040-3_47zbMath1405.94027OpenAlexW2243516408MaRDI QIDQ2807544

Thomas Breuer, Imre Csiszár

Publication date: 25 May 2016

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-25040-3_47

zbMATH Keywords

risk measurepayoff functionBregman distance\(f\)-divergenceconvex integral functional\(I\)-divergencePythagorean identityalmost worst case densitiesworst case density

Mathematics Subject Classification ID

Measures of information, entropy (94A17) Information theory (general) (94A15) Actuarial science and mathematical finance (91G99)

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