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A note on the quantization for probability measures with respect to the geometric mean error

✍ Scribed by Sanguo Zhu

Book ID
118788483
Publisher
Springer Vienna
Year
2011
Tongue
English
Weight
205 KB
Volume
167
Category
Article
ISSN
0026-9255

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A martingale measure is constructed by using a mean correcting transform for the geometric LΓ©vy processes model. It is shown that this measure is the mean correcting martingale measure if and only if, in the LΓ©vy process, there exists a continuous Gaussian part. Although this measure cannot be equiv