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  • 标题:Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order <i>q</i> and Order Zero
  • 本地全文:下载
  • 作者:Winfrida Felix Mwigilwa ; Jane Aduda ; Ananda Omutokoh Kube
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2021
  • 卷号:11
  • 期号:3
  • 页码:528-553
  • DOI:10.4236/jmf.2021.113030
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:Generally in this paper, we show how the new version of parameter  in Jacod decomposition will change an expression of entropy-Hellinger process of order one, order q and order zero and consequently an equation of minimal entropy Hellinger sigma martingale density for all orders. This is because even the measurable function  which is an important parameter of an equation of minimal martingale density changes. In order to get a required parameter , we introduce the function  during our calculation for all orders. The result is different to order zero because we failed to get an equation of minimal entropy-Hellinger sigma martingale density of order zero.
  • 关键词:Sigma Martingale Density;Jacod Decomposition;Entropy-Hellinger Process;Compensator;Minimal Entropy-Hellinger Sigma Martingale Density
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