Article ID Journal Published Year Pages File Type
10527496 Stochastic Processes and their Applications 2005 29 Pages PDF
Abstract
Let L be a multidimensional Lévy process under P in its own filtration and consider all probability measures Q turning L into a local martingale. The minimal entropy martingale measure QE is the unique Q which minimizes the relative entropy with respect to P. We prove that L is still a Lévy process under QE and explain precisely how and why this preservation of the Lévy property occurs.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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