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July 2002 On the minimal entropy martingale measure
Peter Grandits, Thorsten Rheinländer
Ann. Probab. 30(3): 1003-1038 (July 2002). DOI: 10.1214/aop/1029867119

Abstract

Let X be a locally bounded semimartingale. Using the theory of \textit{BMO}-martingales we give a sufficient criterion for a martingale measure for X to minimize relative entropy among all martingale measures. This is applied to prove convergence of the q-optimal martingale measure to the minimal entropy martingale measure in entropy for $q\downarrow 1$ under the assumption that X is continuous and that the density process of some equivalent martingale measure satisfies a reverse $\mathit{LLogL}$\small -inequality.

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Peter Grandits. Thorsten Rheinländer. "On the minimal entropy martingale measure." Ann. Probab. 30 (3) 1003 - 1038, July 2002. https://doi.org/10.1214/aop/1029867119

Information

Published: July 2002
First available in Project Euclid: 20 August 2002

zbMATH: 1049.60035
MathSciNet: MR1920099
Digital Object Identifier: 10.1214/aop/1029867119

Subjects:
Primary: 28D20, 60G48, 60H05, 91B28

Rights: Copyright © 2002 Institute of Mathematical Statistics

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Vol.30 • No. 3 • July 2002
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