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Entropy 2001, 3(3), 150-161; doi:10.3390/e3030150
Article

The Role of Hellinger Processes in Mathematical Finance

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Received: 7 September 2001; Accepted: 15 September 2001 / Published: 30 September 2001
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Abstract: This paper illustrates the natural role that Hellinger processes can play in solving problems from ¯nance. We propose an extension of the concept of Hellinger process applicable to entropy distance and f-divergence distances, where f is a convex logarithmic function or a convex power function with general order q, 0 6= q < 1. These concepts lead to a new approach to Merton's optimal portfolio problem and its dual in general L¶evy markets.
Keywords: information theory; Hellinger processes; optimal portfolios; Levy processes; financial mathematics information theory; Hellinger processes; optimal portfolios; Levy processes; financial mathematics
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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MDPI and ACS Style

Choulli, T.; Hurd, T.R. The Role of Hellinger Processes in Mathematical Finance. Entropy 2001, 3, 150-161.

AMA Style

Choulli T, Hurd TR. The Role of Hellinger Processes in Mathematical Finance. Entropy. 2001; 3(3):150-161.

Chicago/Turabian Style

Choulli, T.; Hurd, T. R. 2001. "The Role of Hellinger Processes in Mathematical Finance." Entropy 3, no. 3: 150-161.


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