Next Article in Journal
Basic Concepts, Identities and Inequalities - the Toolkit of Information Theory
Previous Article in Journal
Energy, Entropy and Exergy Concepts and Their Roles in Thermal Engineering
Article Menu

Export Article

Open AccessArticle
Entropy 2001, 3(3), 150-161; https://doi.org/10.3390/e3030150

The Role of Hellinger Processes in Mathematical Finance

1
Mathematical Sciences Dept.; University of Alberta; Edmonton, Canada
2
Dept. of Mathematics and Statistics; McMaster University; Hamilton, Canada
*
Author to whom correspondence should be addressed.
Received: 7 September 2001 / Accepted: 15 September 2001 / Published: 30 September 2001
View Full-Text   |   Download PDF [249 KB, uploaded 24 February 2015]

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. View Full-Text
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 (CC BY 3.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

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

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Entropy EISSN 1099-4300 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top