Application of Moore-Penrose inverse in deciding the minimal martingale measure
type: Item
instance of: scholarly article
title: Application of Moore-Penrose inverse in deciding the minimal martingale measure
zbMATH Open document ID: 1213.91176
author: Gang Yang
author: Xiangqun Yang
author: Luogen Yao
published in: Acta Mathematicae Applicatae Sinica. English Series
publication date: 2010-10-29T00:00:00Z
review text: The authors prove that the Moore-Penrose inverse of any \(\mathbb R^{d\times n}\)-valued, predictable process is still predictable and then obtain an solution of auxiliary unsolved stochastic equation that appears when we one intends to derive the minimal martingale measure. The solution is obtained via the Moore-Penrose inverse method. Moreover, an accurate expression of the minimal martingale measure is obtained in a generalized Black-Scholes model.
reviewed by: Yuliya S. Mishura
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60H05
zbMATH DE Number: 5808643
zbMATH Keywords: Moore-Penrose inverse
zbMATH Keywords: minimal martingale measure
zbMATH Keywords: semi-martingales
zbMATH Keywords: structure condition
MaRDI profile type: Publication
full work available at URL: s10255-010-0030-1
OpenAlex ID: W1977422463
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DOI: 10.1007/S10255-010-0030-1
description: scientific article; zbMATH DE number 5808643