Journal article
The entropic measure transform
Abstract
We introduce the entropic measure transform (EMT) problem for a general process and prove the existence of a unique optimal measure characterizing the solution. The density process of the optimal measure is characterized using a semimartingale BSDE under general conditions. The EMT is used to reinterpret the conditional entropic risk‐measure and to obtain a convenient formula for the conditional expectation of a process that admits an affine …
Authors
Wang R; Hyndman C; Kratsios A
Journal
Canadian Journal of Statistics, Vol. 48, No. 1, pp. 97–129
Publisher
Wiley
Publication Date
March 2020
DOI
10.1002/cjs.11537
ISSN
0319-5724