The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
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Publication:3535728
DOI10.1080/07362990802286038zbMath1153.60001MaRDI QIDQ3535728
Publication date: 14 November 2008
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990802286038
minimal entropy martingale measure; \(p\)-optimal martingale measure; backward martingale equation; optimal principle
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
60-02: Research exposition (monographs, survey articles) pertaining to probability theory
Related Items
On convergence to the exponential utility problem, Optimal Exponential Utility in a Jump Bond Market, The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps
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