Mimimal Relative Entropy Martingale Measure of Birth and Death Process
نویسنده
چکیده
In this article, we investigate the MEMM (Minimal relative Entropy Martingale Measure) of Birth and Death processes and the MEMM of generalized Birth and Death processes. We see that the existence problem of the MEMM is reduced to the problem of solving the corresponding Hamilton-Jacobi-Bellman equation.
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تاریخ انتشار 2000