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Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order <i>q</i> and Order Zero
Department of Mathematics, Pan African University Institute of Basic Sciences, Technology and Innovation, Nairobi, Kenya
Department of Mathematics and Actuarial Sciences, Jomo Kenyatta, University of Agriculture and Technology, Nairobi, Kenya
Department of Mathematics and Actuarial Science, Kenyatta University, Nairobi, Kenya
- 1 Department of Mathematics, Pan African University Institute of Basic Sciences, Technology and Innovation, Nairobi, Kenya
- 2 Department of Mathematics and Actuarial Sciences, Jomo Kenyatta, University of Agriculture and Technology, Nairobi, Kenya
- 3 Department of Mathematics and Actuarial Science, Kenyatta University, Nairobi, Kenya
Journal of Mathematical Finance·Volume 11 (2021)·Pages 528–553·Published 9 June 2021·DOI10.4236/jmf.2021.113030
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Abstract
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.
KeywordsSigma Martingale DensityJacod DecompositionEntropy-Hellinger ProcessCompensatorMinimal Entropy-Hellinger Sigma Martingale Density
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