Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527496 | Stochastic Processes and their Applications | 2005 | 29 Pages |
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.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Felix Esche, Martin Schweizer,