Martingale measure for the geometrical Gaussian martingales with ``disorder

zbMATH Open1222.60036MaRDI QIDQ3174562FDOQ3174562

Authors: Omar Glonti, Zaza Khechinashvili 

Publication date: 15 October 2011

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Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Martingales with discrete parameter (60G42)

Cited In (4)

• A note on the mean correcting martingale measure for geometric Lévy processes
• On the specific relative entropy between martingale diffusions on the line
• Title not available (Why is that?)
• Geometric Gaussian martingales with disorder

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