The Minimal Entropy Martingale Measure for Exponential Markov Chains.
Young LeeThorsten RheinländerPublished in: J. Appl. Probab. (2013)
Keyphrases
- markov chain
- steady state
- information theory
- transition probabilities
- monte carlo
- relative entropy
- state space
- probabilistic automata
- finite state
- markov process
- random walk
- stationary distribution
- stochastic process
- markov model
- monte carlo method
- shannon entropy
- monte carlo simulation
- information theoretic
- markov processes
- transition matrix
- mutual information
- machine learning
- kullback leibler divergence
- distance measure
- assemble to order systems