The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model

DOI10.1080/07362990802286038zbMATH Open1153.60001OpenAlexW1995428854MaRDI QIDQ3535728FDOQ3535728

Authors: Michael Kohlmann, Dewen Xiong 

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

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zbMATH Keywords

minimal entropy martingale measure\(p\)-optimal martingale measurebackward martingale equationoptimal principle

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Financial Modelling with Jump Processes
• Optimal portfolios when stock prices follow an exponential Lévy process
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Calcul stochastique et problèmes de martingales
• Approximation pricing and the variance-optimal martingale measure
• Mean-variance hedging and numéraire
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• Title not available (Why is that?)
• On the minimal entropy martingale measure.
• The minimal entropy martingale measures for geometric Lévy processes
• The variance-optimal martingale measure for continuous processes
• Minimal martingale measures for jump diffusion processes
• Dynamic programming and mean-variance hedging
• A semimartingale BSDE related to the minimal entropy martingale measure
• Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
• An extension of mean-variance hedging to the discontinuous case
• On convergence to the exponential utility problem
• On Convergence to the Exponential Utility Problem with Jumps

Cited In (25)

• Optimal exponential utility in a jump bond market
• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
• MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
• On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
• The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps
• Title not available (Why is that?)
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
• On Convergence to the Exponential Utility Problem with Jumps
• Optimal equivalent probability measures under enlarged filtrations
• On \(q\)-optimal martingale measures in exponential Lévy models
• The minimal entropy martingale measures for exponential additive processes
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• Exponential stock models driven by tempered stable processes
• The minimal \(\kappa \)-entropy martingale measure
• The \(p\)-optimal martingale measure when there exist inaccessible jumps
• On the minimal entropy martingale measure.
• The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach
• \(\Phi\)-entropy inequality and application for SDEs with jumps
• The exp-UIV for markets with partial information and complete information
• On convergence to the exponential utility problem
• Minimal Hellinger martingale measures of order \(q\)
• A semimartingale BSDE related to the minimal entropy martingale measure
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
• Title not available (Why is that?)

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