On Minimization and Maximization of Entropy in Various Disciplines
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://epubs.siam.org/doi/pdf/10.1137/S0040585X9798052X
Reference9 articles.
1. $I$-Divergence Geometry of Probability Distributions and Minimization Problems
2. Exponential Hedging and Entropic Penalties
3. The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
4. The minimal entropy martingale measures for geometric L�vy processes
5. Minimax and minimal distance martingale measures and their relationship to portfolio optimization
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