Mwigilwa, Winfrida FelixAduda, JaneKube, Ananda Omutokoh2023-07-252023-07-252021Mwigilwa, 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.2021.113030https://doi.org/10.4236/jmf.2021.113030http://ir-library.ku.ac.ke/handle/123456789/26407articleGenerally 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.enSigma Martingale DensityJacod DecompositionEntropy-Hellinger ProcessCompensatorMinimal Entropy-Hellinger Sigma Martingale DensityArticle