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- W1983072522 abstract "We consider a special semimartingale X with independent increments and prove the existence and equivalence of a local martingale measure {bf P}$^H$ for~X, which minimizes the Hellinger process under the assumption that there exists an equivalent local martingale measure for~X. This is done under the restriction of quasi-left-continuity and boundedness of jumps of~X. Furthermore, we investigate the relation between the well-known minimal martingale measure {bf P}$^{min}$ and {bf P}$^H$. It is shown that in a sense {bf P}$^{min}$ is an approximation of~{bf P}$^H$." @default.
- W1983072522 created "2016-06-24" @default.
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- W1983072522 date "2000-01-01" @default.
- W1983072522 modified "2023-10-11" @default.
- W1983072522 title "On Martingale Measures for Stochastic Processes with Independent Increments" @default.
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- W1983072522 doi "https://doi.org/10.1137/s0040585x97977355" @default.
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