On Martingale Measures for Stochastic Processes with Independent Increments

DOI10.1137/S0040585X97977355MaRDI QIDQ4510002zbMATH OpenFDO

Authors 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)

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Cited in

(9)

• Structure-preserving equivalent martingale measures for \(\mathcal H\)-SII models
• scientific article; zbMATH DE number 1254560 (Why is no real title available?)
• MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
• On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure
• The Bellman equation for power utility maximization with semimartingales
• Minimal Hellinger martingale measures of order \(q\)

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