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The entropic measure transform
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

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