On jump-diffusion processes with regime switching: Martingale approach

Keyphrases

• Jump-diffusion Process 100%
• Regime Switching 100%
• Martingale Approach 100%
• Relative Entropy 100%
• Lvy Processes 50%
• Esscher Transform 50%
• Equivalent Martingale Measure 50%
• Parameter Switching 50%
• Minimal Entropy 50%
• Entropy-based Approach 50%

Mathematics

• Diffusion Process 100%
• Relative Entropy 100%
• random time δ 50%
• Equivalent Martingale Measure 50%
• Entropy 50%