On Martingale Measures for Stochastic Processes with Independent Increments

DOI10.1137/S0040585X97977355zbMATH Open0959.60033MaRDI QIDQ4510002FDOQ4510002

Authors: Peter Grandits 

Publication date: 19 October 2000

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

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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)

Cited In (9)

• Structure-preserving equivalent martingale measures for \(\mathcal H\)-SII models
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• MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
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• 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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