On the minimal entropy martingale measure
On the minimal entropy martingale measure
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关于最小熵鞅测度
DOI：
10.1214/aop/1029867119
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发表时间：
2002
影响因子：
2.3
通讯作者：
Thorsten Rheinländer
中科院分区：
文献类型：
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作者：
P. Grandits;Thorsten Rheinländer
设X是局部有界半鞅。利用BMO-鞅理论，我们给出了X的鞅测度使所有鞅测度中的相对熵最小的一个充分判据。在X连续且等价鞅测度的密度过程满足逆LLogL不等式的假设下，证明了q ↓ 1的q-最优鞅测度收敛于最小熵鞅测度.
Let X be a locally bounded semimartingale. Using the theory of BMO-martingales we give a sufficient criterion for a martingale measure for X to minimize relative entropy among all martingale measures. This is applied to prove convergence of the q-optimal martingale measure to the minimal entropy martingale measure in entropy for q ↓ 1 under the assumption that X is continuous and that the density process of some equivalent martingale measure satisfies a reverse LLogL-inequality.