Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order q and Order Zero
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Date
2021
Authors
Mwigilwa, Winfrida Felix
Aduda, Jane
Kube, Ananda Omutokoh
Journal Title
Journal ISSN
Volume Title
Publisher
Scientific Research Publishing Inc
Abstract
Generally in this paper, we show how the new version of parameter 2 U ∈
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 W ∈ which is an important parameter
of an equation of minimal martingale density changes. In order to get a
required parameter W ∈ P , we introduce the function 1 t m f = − ∈ 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.
Description
article
Keywords
Sigma Martingale Density, Jacod Decomposition, Entropy-Hellinger Process, Compensator, Minimal Entropy-Hellinger Sigma Martingale Density
Citation
Mwigilwa, W.F., Aduda, J. and Kube, A.O. (2021) Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order q and Order Zero. Journal of Mathematical Finance , 11, 528-553. https://doi.org/10.4236/jmf.2021.113030