The role of Hellinger processes in mathematical finance
type: Item
instance of: scholarly article
title: The role of Hellinger processes in mathematical finance
zbMATH Open document ID: 1015.91030
author: T. R. Hurd
author: Tahir Choulli
published in: Entropy
publication date: 2002-09-10T00:00:00Z
full work available at URL: list01.htm
review text: Summary: This paper illustrates the natural role that Hellinger processes can play in solving problems from finance. We propose an extension of the concept of Hellinger process applicable to entropy distance and \(f\)-divergence distances, where \(f\) is a convex logarithmic function or a convex power function with general order \(q,0\neq q<1\). These concepts lead to a new approach to Merton's optimal portfolio problem and its dual in general Lévy markets.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60G99
zbMATH DE Number: 1796725
zbMATH Keywords: information theory
zbMATH Keywords: Hellinger processes
zbMATH Keywords: optimal portfolios
zbMATH Keywords: Lévy processes
zbMATH Keywords: financial mathematical
MaRDI profile type: Publication
OpenAlex ID: W2164726828
DOI: 10.3390/E3030150
description: scientific article; zbMATH DE number 1796725