In this paper we construct the minimal entropy martingale for semi-Markov regime switching interest rate models using some general entropy measures. We prove that, for the one-period model, the minimal entropy martingale for semi-Markov processes in the case of the Tsallis and Kaniadakis...

It is suggested that thermodynamical equilibrium equals game theoretical equilibrium. Aspects of this thesis are discussed. The philosophy is consistent with maximum entropy thinking of Jaynes, but goes one step deeper by deriving the maximum entropy principle from an underlying game theoretical...