Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process

DOI10.1080/17442508.2019.1642339zbMath1490.60116OpenAlexW2962688648MaRDI QIDQ5086497

M. Tahmasebi, Gholam Hossein Yari

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1642339

zbMATH Keywords

relative entropyexponential Lévy processlow-discrepancy sequenceminimal-entropy martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Statistical aspects of information-theoretic topics (62B10)

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