par Hess, Markus 
Référence Journal of optimization theory and applications, 183, 3, page (813-839)
Publication Publié, 2019-12
Référence Journal of optimization theory and applications, 183, 3, page (813-839)
Publication Publié, 2019-12
Article révisé par les pairs
| Résumé : | In a general jump-diffusion Radon–Nikodym setup with stochastic Girsanov processes, we derive optimal equivalent probability measures. Optimality is measured in terms of minimum relative entropy and also by more general divergence concepts. We further provide an anticipative sufficient stochastic minimum principle and derive optimal equivalent probability measures under various enlarged filtration approaches. |
