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A semimartingale BSDE related to the minimal entropy martingale measure

✍ Scribed by Michael Mania; Marina Santacroce; Revaz Tevzadze

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The Relations between Minimal Martingale

✍ Takuji Arai 📂 Article 📅 2001 🏛 Springer 🌐 English ⚖ 96 KB

The minimal entropy martingale measure o

✍ Jun Yan; Fuqing Gao 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 221 KB

The density process of the minimal entro

✍ Fred Espen Benth; Thilo Meyer-Brandis 📂 Article 📅 2005 🏛 Springer-Verlag 🌐 English ⚖ 154 KB

A PDE representation of the density of t

✍ Benth, Fred Espen; Karlsen ¶, Kenneth Hvistendahl 📂 Article 📅 2005 🏛 Taylor and Francis Group 🌐 English ⚖ 289 KB

The density process of the minimal entro

✍ Kufakunesu, Rodwell 📂 Article 📅 2011 🏛 Taylor and Francis Group 🌐 English ⚖ 306 KB

On entropy-type functionals arising in s

✍ Gasnikov, A. V.; Gasnikova, E. V. 📂 Article 📅 2013 🏛 SP MAIK Nauka/Interperiodica 🌐 English ⚖ 609 KB