Minimizing f-Divergence
Keyword(s):
The f-divergence between two measures can be viewed as a generalized “distance” between the measures. In order to find a unique martingale measure we can then choose the measure which minimizes the f-divergence to the objective measure. We derive the necessary theory of f-divergences and we present the corresponding dual utility maximization theory. We also study some examples, for example, minimal entropy measures.
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1998 ◽
Vol 42
(1)
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pp. 82-86
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1984 ◽
Vol 28
(11)
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pp. 950-953
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Keyword(s):
1987 ◽
Vol 45
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pp. 746-747
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1983 ◽
Vol 26
(1)
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pp. 2-9
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2010 ◽
Vol 24
(1)
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pp. 1-6
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