The minimal entropy martingale measure of a jump process influenced by jump times

DOI10.1016/j.spl.2012.09.001zbMath1261.60081OpenAlexW2042171534MaRDI QIDQ1933702

Jun Yan, Fu Qing Gao

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.09.001

zbMATH Keywords

relative entropyexponential martingaleminimal entropy martingale measure

Mathematics Subject Classification ID

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