scientific article; zbMATH DE number 5840049

MaRDI QIDQ3067598zbMATH OpenFDO

Authors Tsukasa Fujiwara

Publication date 21 January 2011

Full work available at URL http://gcoe-mi.jp/english/./temp/publish/c2908e6a80d96141f8be267450b97e1f.pdf

zbMATH Keywords

additive processexponential momentLaplace cumulantminimal entropy martingale measuremodified Laplace cumulantprocess with independent incrementssemimartingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Sums of independent random variables; random walks (60G50) Processes with independent increments; Lévy processes (60G51)

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Cited in

(6)

• The minimal entropy martingale measures for geometric Lévy processes
• The minimal entropy martingale measure of a jump process influenced by jump times
• The mean correcting martingale measures for exponential additive processes
• On the exponential moments of additive processes
• The minimal entropy martingale measures for exponential additive processes
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models

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