Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702)
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scientific article; zbMATH DE number 6381305
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes |
scientific article; zbMATH DE number 6381305 |
Statements
Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (English)
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17 December 2014
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Lévy process
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time change
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subordination
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generalized relative entropy
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martingale measures
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