Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure

This paper investigates the relationship between the minimal Hellinger martingale measure of order qq (MHM measure hereafter) and the qq-optimal martingale measure for any q≠1q≠1. First, we provide more results for the MHM measure; in particular we establish its complete characterization in two manners. Then we derive two equivalent conditions for both martingale measures to coincide. These conditions are in particular fulfilled in the case of markets driven by Lévy processes. Finally, we analyze the MHM measure as well as its relationship to the qq-optimal martingale measure for the case of a discrete-time market model.