Exponential models by Orlicz spaces and applications-Reference-Cited by-同舟云学术

Exponential models by Orlicz spaces and applications

Published:2018-09 Issue:3 Volume:55 Page:682-700
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:J. Appl. Probab.

Author:

Santacroce Marina,Siri Paola,Trivellato Barbara

Abstract

AbstractThe geometric structure of the nonparametric statistical model of all positive densities connected by an open exponential arc and its intimate relation to Orlicz spaces give new insights to well-known financial objects which arise in exponential utility maximization problems.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference22 articles.

1. Inegalites de normes avec poids

2. The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

3. Examples of the Application of Nonparametric Information Geometry to Statistical Physics

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