{"id":"https://openalex.org/W1551623652","doi":"https://doi.org/10.1214/105051606000000240","title":"The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models","display_name":"The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models","publication_year":2006,"publication_date":"2006-08-01","ids":{"openalex":"https://openalex.org/W1551623652","doi":"https://doi.org/10.1214/105051606000000240","mag":"1551623652"},"language":"en","primary_location":{"id":"doi:10.1214/105051606000000240","doi":"https://doi.org/10.1214/105051606000000240","is_oa":true,"landing_page_url":"https://doi.org/10.1214/105051606000000240","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-16/issue-3/The-minimal-entropy-martingale-measure-for-general-Barndorff-Nielsen-Shephard/10.1214/105051606000000240.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-16/issue-3/The-minimal-entropy-martingale-measure-for-general-Barndorff-Nielsen-Shephard/10.1214/105051606000000240.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5025615709","display_name":"Thorsten Rheinl\u00e4nder","orcid":"https://orcid.org/0000-0002-1993-0924","observed_orcids":["https://orcid.org/0000-0002-1993-0924"]},"institutions":[{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]},{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]}],"countries":["CH","GB"],"is_corresponding":false,"raw_author_name":"Thorsten Rheinl\u00e4nder","raw_affiliation_strings":["DEPARTMENT OF STATISTICS LONDON SCHOOL OF ECONOMICS LONDON WC2A 2AE UNITED KINGDOM","London School of Economics and ETH Z\u00fcrich","\ufeffLondon School of Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"DEPARTMENT OF STATISTICS LONDON SCHOOL OF ECONOMICS LONDON WC2A 2AE UNITED KINGDOM","institution_ids":["https://openalex.org/I909854389"]},{"raw_affiliation_string":"London School of Economics and ETH Z\u00fcrich","institution_ids":["https://openalex.org/I35440088","https://openalex.org/I909854389"]},{"raw_affiliation_string":"\ufeffLondon School of Economics","institution_ids":["https://openalex.org/I909854389"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5001760462","display_name":"Gallus Steiger","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]},{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]}],"countries":["CH","GB"],"is_corresponding":false,"raw_author_name":"Gallus Steiger","raw_affiliation_strings":["ETH-ZENTRUM ETH Z\u00dcRICH CH-8092 Z\u00dcRICH SWITZERLAND","London School of Economics and ETH Z\u00fcrich"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ETH-ZENTRUM ETH Z\u00dcRICH CH-8092 Z\u00dcRICH SWITZERLAND","institution_ids":["https://openalex.org/I35440088"]},{"raw_affiliation_string":"London School of Economics and ETH Z\u00fcrich","institution_ids":["https://openalex.org/I35440088","https://openalex.org/I909854389"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.9699,"has_fulltext":true,"cited_by_count":21,"citation_normalized_percentile":{"value":0.93504106,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"16","issue":"3","first_page":"1319","last_page":"1351"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10194","display_name":"Nonlinear Partial Differential Equations","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2604","display_name":"Applied Mathematics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/minimal-entropy-martingale-measure","display_name":"minimal entropy martingale measure","score":0.9990000128746033},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.7929999828338623},{"id":"https://openalex.org/keywords/jump-processes","display_name":"jump processes","score":0.7570000290870667},{"id":"https://openalex.org/keywords/correlated-jumps","display_name":"correlated jumps","score":0.8690000176429749},{"id":"https://openalex.org/keywords/existence-of-classical-solutions","display_name":"existence of classical solutions","score":0.8370000123977661},{"id":"https://openalex.org/keywords/levy-processes","display_name":"L\u00e9vy processes","score":0.6230000257492065}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6446232795715332},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.6286135911941528},{"id":"https://openalex.org/C185637853","wikidata":"https://www.wikidata.org/wiki/Q1242402","display_name":"Doob's martingale inequality","level":4,"score":0.6016340255737305},{"id":"https://openalex.org/C58435881","wikidata":"https://www.wikidata.org/wiki/Q1868500","display_name":"Local martingale","level":3,"score":0.5508485436439514},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5501495003700256},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5372939109802246},{"id":"https://openalex.org/C76374431","wikidata":"https://www.wikidata.org/wiki/Q6777132","display_name":"Martingale pricing","level":4,"score":0.533760130405426},{"id":"https://openalex.org/C30268764","wikidata":"https://www.wikidata.org/wiki/Q3707378","display_name":"Martingale difference sequence","level":3,"score":0.4599759578704834},{"id":"https://openalex.org/C106301342","wikidata":"https://www.wikidata.org/wiki/Q4117933","display_name":"Entropy (arrow of time)","level":2,"score":0.4457840025424957},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.43040359020233154},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.4115554094314575},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4105273485183716},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.39648866653442383},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.10644412040710449},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.09568268060684204},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":9,"locations":[{"id":"doi:10.1214/105051606000000240","doi":"https://doi.org/10.1214/105051606000000240","is_oa":true,"landing_page_url":"https://doi.org/10.1214/105051606000000240","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-16/issue-3/The-minimal-entropy-martingale-measure-for-general-Barndorff-Nielsen-Shephard/10.1214/105051606000000240.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},{"id":"pmh:oai:eprints.lse.ac.uk:16351","doi":null,"is_oa":false,"landing_page_url":"http://eprints.lse.ac.uk/16351/1/The_minimal_entropy_martingale_measure_for_general_Barndorff-NielsenShephard_models%28lsero%29.pdf","pdf_url":"http://eprints.lse.ac.uk/16351/1/The_minimal_entropy_martingale_measure_for_general_Barndorff-NielsenShephard_models%28lsero%29.pdf","source":{"id":"https://openalex.org/S4306401593","display_name":"London School of Economics and Political Science Research Online (London School of Economics and Political Science)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I909854389","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/I909854389"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:arXiv.org:math/0610219","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/math/0610219","pdf_url":"https://arxiv.org/pdf/math/0610219","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:researchonline.lse.ac.uk:16351","doi":null,"is_oa":true,"landing_page_url":"https://doi.org/10.1214/105051606000000240","pdf_url":"https://researchonline.lse.ac.uk/id/eprint/16351/1/The_minimal_entropy_martingale_measure_for_general_Barndorff-NielsenShephard_models%28lsero%29.pdf","source":{"id":"https://openalex.org/S4306401593","display_name":"London School of Economics and Political Science Research Online (London School of Economics and Political Science)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I909854389","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/I909854389"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"mag:1551623652","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:ehl:lserod:16351","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"mag:3146368335","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/p/ehl/lserod/16351.html","pdf_url":null,"source":{"id":"https://openalex.org/S2764460092","display_name":"LSE Research Online Documents on Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":"https://openalex.org/P4361727514","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/P4361727514","https://openalex.org/P4310311730"],"host_organization_lineage_names":["London School of Economics and Political Science","University of London"],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"LSE Research Online Documents on Economics","raw_type":null},{"id":"pmh:oai:CULeuclid:euclid.aoap/1159804983","doi":null,"is_oa":false,"landing_page_url":"https://projecteuclid.org/euclid.aoap/1159804983","pdf_url":null,"source":{"id":"https://openalex.org/S4306400787","display_name":"Project Euclid (Cornell University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"pmh:oai:RePEc:ehl:lserod:16351","doi":null,"is_oa":false,"landing_page_url":"http://eprints.lse.ac.uk/16351/","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.48550/arxiv.math/0610219","doi":"https://doi.org/10.48550/arxiv.math/0610219","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.math/0610219","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.1214/105051606000000240","doi":"https://doi.org/10.1214/105051606000000240","is_oa":true,"landing_page_url":"https://doi.org/10.1214/105051606000000240","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-16/issue-3/The-minimal-entropy-martingale-measure-for-general-Barndorff-Nielsen-Shephard/10.1214/105051606000000240.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1551623652.pdf","grobid_xml":"https://content.openalex.org/works/W1551623652.grobid-xml"},"referenced_works_count":25,"referenced_works":["https://openalex.org/W88791093","https://openalex.org/W1537945916","https://openalex.org/W1968167063","https://openalex.org/W1973185776","https://openalex.org/W2006795133","https://openalex.org/W2011496907","https://openalex.org/W2017392078","https://openalex.org/W2020513063","https://openalex.org/W2028917576","https://openalex.org/W2029894819","https://openalex.org/W2032727311","https://openalex.org/W2033192403","https://openalex.org/W2052493589","https://openalex.org/W2058903005","https://openalex.org/W2074395921","https://openalex.org/W2105832006","https://openalex.org/W2160162435","https://openalex.org/W2334560608","https://openalex.org/W2504814367","https://openalex.org/W2512223152","https://openalex.org/W3120164020","https://openalex.org/W3125090384","https://openalex.org/W3125246470","https://openalex.org/W4249549160","https://openalex.org/W4293092461"],"related_works":["https://openalex.org/W7099376541","https://openalex.org/W2005057599","https://openalex.org/W4249549160","https://openalex.org/W1989329198","https://openalex.org/W4416386266","https://openalex.org/W2358946586","https://openalex.org/W2042171534","https://openalex.org/W2120461128","https://openalex.org/W2032169204","https://openalex.org/W2350659842"],"abstract_inverted_index":{"We":[0,49],"determine":[1],"the":[2,36,53,65],"minimal":[3],"entropy":[4,54],"martingale":[5],"measure":[6,55],"for":[7,61],"a":[8,57,68],"general":[9],"class":[10],"of":[11,67],"stochastic":[12],"volatility":[13,20,47],"models":[14],"where":[15],"both":[16],"price":[17,42],"process":[18,21],"and":[19],"contain":[22],"jump":[23],"terms":[24],"which":[25,32,62],"are":[26],"correlated.":[27],"This":[28],"generalizes":[29],"previous":[30],"studies":[31],"have":[33],"treated":[34],"either":[35],"geometric":[37],"L\u00e9vy":[38],"case":[39],"or":[40],"continuous":[41],"processes":[43],"with":[44],"an":[45],"orthogonal":[46],"process.":[48],"proceed":[50],"by":[51],"linking":[52],"to":[56],"certain":[58],"semi-linear":[59],"integro-PDE":[60],"we":[63],"prove":[64],"existence":[66],"classical":[69],"solution.":[70]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-27T15:51:10.671819","created_date":"2016-06-24T00:00:00"}
