The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model

DOI10.1080/07362990802286038zbMath1153.60001OpenAlexW1995428854MaRDI QIDQ3535728

Dewen Xiong, Michael Kohlmann

Publication date: 14 November 2008

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

Full work available at URL: https://doi.org/10.1080/07362990802286038

zbMATH Keywords

minimal entropy martingale measure\(p\)-optimal martingale measurebackward martingale equationoptimal principle

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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