Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure

DOI10.1016/j.spa.2008.07.002zbMath1161.60317OpenAlexW2053539352MaRDI QIDQ1016619

Christophe Stricker, Tahir Choulli

Publication date: 6 May 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.07.002

zbMATH Keywords

incomplete marketutility maximization\(q\)-optimal martingale measureminimal Hellinger martingale measure

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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