Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

On the Minimal Entropy Martingale Measure

Peter Grandits and Thorsten Rheinländer
The Annals of Probability
Vol. 30, No. 3 (Jul., 2002), pp. 1003-1038
Stable URL: http://www.jstor.org/stable/1558791
Page Count: 36
  • Read Online (Free)
  • Download ($19.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
On the Minimal Entropy Martingale Measure
Preview not available

Abstract

Let X be a locally bounded semimartingale. Using the theory of 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 ↓ l under the assumption that X is continuous and that the density process of some equivalent martingale measure satisfies a reverse LLogL-inequality.

Page Thumbnails

  • Thumbnail: Page 
1003
    1003
  • Thumbnail: Page 
1004
    1004
  • Thumbnail: Page 
1005
    1005
  • Thumbnail: Page 
1006
    1006
  • Thumbnail: Page 
1007
    1007
  • Thumbnail: Page 
1008
    1008
  • Thumbnail: Page 
1009
    1009
  • Thumbnail: Page 
1010
    1010
  • Thumbnail: Page 
1011
    1011
  • Thumbnail: Page 
1012
    1012
  • Thumbnail: Page 
1013
    1013
  • Thumbnail: Page 
1014
    1014
  • Thumbnail: Page 
1015
    1015
  • Thumbnail: Page 
1016
    1016
  • Thumbnail: Page 
1017
    1017
  • Thumbnail: Page 
1018
    1018
  • Thumbnail: Page 
1019
    1019
  • Thumbnail: Page 
1020
    1020
  • Thumbnail: Page 
1021
    1021
  • Thumbnail: Page 
1022
    1022
  • Thumbnail: Page 
1023
    1023
  • Thumbnail: Page 
1024
    1024
  • Thumbnail: Page 
1025
    1025
  • Thumbnail: Page 
1026
    1026
  • Thumbnail: Page 
1027
    1027
  • Thumbnail: Page 
1028
    1028
  • Thumbnail: Page 
1029
    1029
  • Thumbnail: Page 
1030
    1030
  • Thumbnail: Page 
1031
    1031
  • Thumbnail: Page 
1032
    1032
  • Thumbnail: Page 
1033
    1033
  • Thumbnail: Page 
1034
    1034
  • Thumbnail: Page 
1035
    1035
  • Thumbnail: Page 
1036
    1036
  • Thumbnail: Page 
1037
    1037
  • Thumbnail: Page 
1038
    1038