Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order q and Order Zero

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dc.contributor.authorMwigilwa, Winfrida Felix
dc.contributor.authorAduda, Jane
dc.contributor.authorKube, Ananda Omutokoh
dc.date.accessioned2023-07-25T13:46:28Z
dc.date.available2023-07-25T13:46:28Z
dc.date.issued2021
dc.descriptionarticleen_US
dc.description.abstractGenerally 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.en_US
dc.identifier.citationMwigilwa, 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.2021.113030en_US
dc.identifier.urihttps://doi.org/10.4236/jmf.2021.113030
dc.identifier.urihttp://ir-library.ku.ac.ke/handle/123456789/26407
dc.language.isoenen_US
dc.publisherScientific Research Publishing Incen_US
dc.subjectSigma Martingale Densityen_US
dc.subjectJacod Decompositionen_US
dc.subjectEntropy-Hellinger Processen_US
dc.subjectCompensatoren_US
dc.subjectMinimal Entropy-Hellinger Sigma Martingale Densityen_US
dc.titleDescription of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order q and Order Zeroen_US
dc.typeArticleen_US
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