文章基本信息

标题：Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order <i>q</i> and Order Zero
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作者：Winfrida Felix Mwigilwa ; Jane Aduda ; Ananda Omutokoh Kube 等
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