Exponential models by Orlicz spaces and applications

DOI10.1017/JPR.2018.45MaRDI QIDQ4555284zbMATH OpenOpenAlexWikidataFDO

Authors Marina Santacroce, Barbara Trivellato, Paola Siri

Publication date 19 November 2018

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/jpr.2018.45

zbMATH Keywords

exponential utility maximizationmaximal exponential modelminimal entropy martingale measureOrlicz spacereverse Hölder condition

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Martingales and classical analysis (60G46) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

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Cites work

• A infinite-dimensional geometric structure on the space of all the probability measures equivalent to a given one
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• Continuous exponential martingales and BMO
• Examples of the application of nonparametric information geometry to statistical physics
• Exponential Hedging and Entropic Penalties
• Exponential statistical manifold
• scientific article; zbMATH DE number 50401 (Why is no real title available?)
• scientific article; zbMATH DE number 3631694 (Why is no real title available?)
• scientific article; zbMATH DE number 2113405 (Why is no real title available?)
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• On the minimal entropy martingale measure.
• RISK MEASURES ON ORLICZ HEARTS
• The exponential statistical manifold: mean parameters, orthogonality and space transformations
• The minimal entropy martingale measure and the valuation problem in incomplete markets

Cited in

(7)

• Robust concentration inequalities in maximal exponential models
• New results on mixture and exponential models by Orlicz spaces
• Why are Orlicz spaces useful for statistical physics?
• scientific article; zbMATH DE number 202499 (Why is no real title available?)
• A Lecture About the Use of Orlicz Spaces in Information Geometry
• Sub-exponentiality in statistical exponential models
• Statistical models built on sub-exponential random variables

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