Optimal equivalent probability measures under enlarged filtrations

DOI10.1007/s10957-019-01581-0zbMath1429.93419OpenAlexW2979610750WikidataQ127084902 ScholiaQ127084902MaRDI QIDQ2278882

Markus Hess

Publication date: 11 December 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-019-01581-0

zbMATH Keywords

stochastic differential equationrelative entropyLévy processRadon-Nikodym densitystochastic optimization problemenlarged filtrationstochastic maximum/minimum principle

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44)

Related Items (4)

Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty ⋮ Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics ⋮ Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment ⋮ Explicit Representations for Utility Indifference Prices

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mathematical methods for financial markets.
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• Time reversal on Lévy processes
• Pricing contingent claims on stocks driven by Lévy processes
• Geometric Lévy process \& MEMM pricing model and related estimation problems
• The minimal entropy martingale measures for geometric Lévy processes
• On the minimal entropy martingale measure.
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• A general stochastic calculus approach to insider trading
• A Maximum Principle for Stochastic Control with Partial Information
• Lévy Processes and Stochastic Calculus
• Exponential Hedging and Entropic Penalties
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• Financial Modelling with Jump Processes
• An anticipative stochastic minimum principle under enlarged filtrations
• Optimal portfolio for an insider in a market driven by Lévy processes§
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Applied stochastic control of jump diffusions
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization

This page was built for publication: Optimal equivalent probability measures under enlarged filtrations