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

DOI10.1080/07362990802286038MaRDI QIDQ3535728zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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Cited in

(25)

• scientific article; zbMATH DE number 5840049 (Why is no real title available?)
• 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
• The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps
• On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
• scientific article; zbMATH DE number 2062295 (Why is no real title available?)
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
• Optimal equivalent probability measures under enlarged filtrations
• On Convergence to the Exponential Utility Problem with Jumps
• 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.
• \(\Phi\)-entropy inequality and application for SDEs with jumps
• The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach
• 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

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