Search Results - subject:"Relative entropy"

THE MINIMAL κ-ENTROPY MARTINGALE MEASURE

TRIVELLATO, BARBARA - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250038-1

We introduce the notion of κ-entropy (κ ∈ ℝ, |κ| ≤ 1), starting from Kaniadakis' (2001, 2002, 2005) one-parameter deformation of the ordinary exponential function. The κ-entropy is in duality with a new class of utility functions which are close to the exponential utility functions,...

Persistent link: https://www.econbiz.de/10011011274

Distinguishability of particles in glass-forming systems

Mauro, John C.; Smedskjaer, Morten M. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 22, pp. 5392-5403

systems. This formalism is based on a classical definition of relative entropy, such as applied in quantum information theory …

Persistent link: https://www.econbiz.de/10010589692

Mathematical inequalities for some divergences

Furuichi, Shigeru; Mitroi, Flavia-Corina - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 1, pp. 388-400

for the Tsallis entropy, the Tsallis relative entropy and some divergences by the use of the Young’s inequality. …

Persistent link: https://www.econbiz.de/10010590948

The minimal k-entropy martingale measure

Trivellato, Barbara - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10009672603

Non-linear relativistic diffusions

Haba, Z. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 15, pp. 2776-2786

corresponding to the quantum or Tsallis distributions. We define the relative entropy as a function of the diffusion probability and …

Persistent link: https://www.econbiz.de/10010590018

Minimal q-entropy martingale measures for exponential time-changed Lévy processes

Kassberger, Stefan; Liebmann, Thomas - In: Finance and Stochastics 15 (2011) 1, pp. 117-140

Persistent link: https://www.econbiz.de/10008925429

Analytical comparisons of option prices in stochastic volatility models

Henderson, Vicky - 2002

Persistent link: https://www.econbiz.de/10009581661

Jensen–Shannon divergence in conjugate spaces: The entropy excess of atomic systems and sets with respect to their constituents

Angulo, Juan C.; Antolín, Juan; López-Rosa, Sheila; … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 899-907

The disorder of a composite system or of a set of different systems is always higher than the mere sum of the internal disorder of its constituents. One of the most widely used functionals employed for measuring the randomness of a single distribution is the Shannon entropy, from which the...

Persistent link: https://www.econbiz.de/10011059096

Centralized versus decentralized control—A solvable stylized model in transportation

Hongler, Max-Olivier; Gallay, Olivier; Hülsmann, Michael; … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 19, pp. 4162-4171

the Kullback–Leibler relative entropy between the free and the controlled probability measures. This enables one to …

Persistent link: https://www.econbiz.de/10011063678

ESTIMATING UNIVARIATE DISTRIBUTIONS VIA RELATIVE ENTROPY MINIMIZATION: CASE STUDIES ON FINANCIAL AND ECONOMIC DATA

FRIEDMAN, CRAIG; ZHANG, YANGYONG; HUANG, JINGGANG - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 163-193

We use minimum relative entropy (MRE) methods to estimate univariate probability density functions for a varied set of …

Persistent link: https://www.econbiz.de/10008487383