Minimal entropy preserves the Lévy property: how and why

99 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Minimal Entropy Martingale Measure (2010, methodology): “Moreover, Q is then given by an Esscher transform (see [Esscher transform]) and L is again a Lévy process under Q ; see for instance [13], [19], [24], [39].”
MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES (2007, background): “Moreover, by the dominated convergence theorem and since limn→∞ αn = 0, we have lim n→∞ ∫ R |Ψ(x)−Ψn(x)|2K(dx) ≤ lim n→∞ 2 (∫ R |Ψ(x)IAcn |2K(dx) + ∫ R ∣∣∣∣ αn γ δ(x) ∣∣∣∣ 2 K(dx) ) = 0.”
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (2006, methodology): “The Esscher transform approach has been used to study the minimal entropy martingale measure by Chan (1999), Fujiwara and Miyahara (2003) and Esche and Schweizer (2005).”