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2006-03-16Buch DOI: 10.18452/3780
A Minimality Property of the Minimal Martingale Measure
dc.contributor.authorSchweizer, Martin
dc.date.accessioned2017-06-15T22:05:55Z
dc.date.available2017-06-15T22:05:55Z
dc.date.created2006-03-16
dc.date.issued2006-03-16
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4432
dc.description.abstractLet 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 that if P exists, it minimizes the reverse relative entropy H(P|Q) over all ELMMs Q for X. A counterexample shows that the assumption of continuity cannot be dropped.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectrelative entropyeng
dc.subjectminimal martingale measureeng
dc.subjectequivalent martingale measureseng
dc.subject.ddc330 Wirtschaft
dc.titleA Minimality Property of the Minimal Martingale Measure
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10060779
dc.identifier.doihttp://dx.doi.org/10.18452/3780
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages6
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1998
local.edoc.container-issue106
local.edoc.container-year1998
local.edoc.container-erstkatid2135319-0

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