Optimal Equivalent Probability Measures under Enlarged Filtrations

In a general jump-diffusion Radon-Nikodym setup with stochastic Girsanov processes, we derive optimal equivalent probability measures. Optimality is measured in terms of minimum relative entropy and also by more general divergence concepts. We further prove an anticipative sufficient stochastic minimum principle and derive optimal equivalent probability measures under various enlarged filtration approaches

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Year of publication:	2019
Authors:	Hess, Markus
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Wahrscheinlichkeitsrechnung \| Probability theory \| EU-Mitgliedschaft \| EU membership \| EU-Staaten \| EU countries \| Theorie \| Theory

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Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Optimization Theory and Applications (JOTA), Vol. 183, No. 3, 813-839, December 2019 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 6, 2019 erstellt
Other identifiers:	10.2139/ssrn.3129327 [DOI]
Classification:	C02 - Mathematical Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012899940