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Minimal Hellinger martingale measures of orderq

โœ Scribed by Tahir Choulli; Christophe Stricker; Jia Li


Book ID
106235700
Publisher
Springer-Verlag
Year
2007
Tongue
English
Weight
584 KB
Volume
11
Category
Article
ISSN
0949-2984

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๐Ÿ“œ SIMILAR VOLUMES


A minimality property of the minimal mar
โœ Martin Schweizer ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 82 KB

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale part of X are also local P-martingales. We prove th