MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS

DOI10.1111/j.1467-9965.2005.00229.xzbMath1136.91419OpenAlexW3125610220MaRDI QIDQ5692939

Tahir Choulli, Christophe Stricker

Publication date: 28 September 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2005.00229.x

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

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