Author(s)： Tsukasa Fujiwara

J. Math-for-Ind. 2B (2010) 115-125.

• File： JMI2010B-1.pdf (158KB)

Abstract
The mimimal entropy martingale measure for the stochastic process defined as the exponential of an additive process with the structure of semimartingale will be investigated. Special attention will be paid to the case when the underlying additive process has fixed times of discontinuity. The investigation of this paper will establish a unified way that is applicable both to the case of Lévy processes and that of the sums of independent random variables.

Keyword(s).　 additive process, process with independent increments, semimartingale, minimal entropy martingale measure, exponential moment, Laplace cumulant, modified Laplace cumulant