On Martingale Measures for Stochastic Processes with Independent Increments

DOI10.1137/S0040585X97977355zbMath0959.60033MaRDI QIDQ4510002

Peter Grandits

Publication date: 19 October 2000

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

processes with independent incrementsminimal martingale measureHellinger processequivalent local martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (7)

On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations ⋮ The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models ⋮ The Bellman equation for power utility maximization with semimartingales ⋮ MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS ⋮ Minimal Hellinger martingale measures of order \(q\) ⋮ Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure ⋮ MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE

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