带跳Brown运动的最小熵鞅测度

The minimal entropy martingale measure of Brown motion with jump

主要研究带跳Brown运动的最小熵鞅测度.利用Esscher变换得到了它的最小熵鞅测度的精确表达式,并给予了详细证明.

In this paper,we study the minimal entropy martingale measure of Brown motion with jump.An explicit expression of the minimal entropy martingale measure is obtained by the Esscher transform,and we gives detailed prove.