Minimal entropy preserves the Levy property: how and why

被引：42

作者：

Esche, F

Schweizer, M ^{[1
]}

机构：

[1] Swiss Fed Inst Technol, ETH Zentrum, CH-8092 Zurich, Switzerland

[2] Tech Univ Berlin, Inst Math, D-10623 Berlin, Germany

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2005年 / 115卷 / 02期

关键词：

Levy processes; martingale measures; relative entropy; minimal entropy martingale measure; mathematical finance; incomplete markets;

D O I：

10.1016/j.spa.2004.05.009

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let L be a multidimensional Levy process under P in its own filtration and consider all probability measures Q turning L into a local martingale. The minimal entropy martingale measure Q(E) is the unique Q which minimizes the relative entropy with respect to P. We prove that L is still a Levy process under Q(E) and explain precisely how and why this preservation of the Levy property occurs. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：299 / 327

页数：29

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