A semimartingale BSDE related to the minimal entropy martingale measure.
Michael ManiaMarina SantacroceRevaz TevzadzePublished in: Finance Stochastics (2003)
Keyphrases
- similarity measure
- information theory
- entropy measure
- information theoretic
- information content
- shannon entropy
- computer vision
- information technology
- change detection
- cumulative residual entropy
- relative entropy
- information entropy
- kullback leibler divergence
- data sets
- mutual information
- digital libraries
- learning environment
- social networks