跳扩散半鞅的最小鞅测度与最小熵鞅测度

The Minimal Martingale Measure and Minimale Entropy Martingale Measure for Jump Diffusion Semimartingal

在跳扩散半鞅模型中,引进了跳的强度过程与跳的概率密度函数过程,研究了测度变换对跳的强度与密度函数过程引起的变化、研究了跳扩散半鞅的最小鞅测度与最小熵鞅测度.得到了这两个鞅测度的精确表达式以及这两个鞅测度所引起的跳强度与密度函数过程的具体变化公式.

In this paper the intensity and probability density function processes of jump are introduced into the model of jump-diffusion semimartingale, and their changes are studied when the probability measure transforms. The exact expressions of minimal martingale measure and the minimal entropy martingale measure for jump diffusion semimartingale are gained, with the specific changes of intensity and density function processes in these measures.