@techreport{Schweizer1998minimality,
abstract = {Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale part of X are also local P-martingales. We prove that if P exists, it minimizes the reverse relative entropy H(P|Q) over all ELMMs Q for X. A counterexample shows that the assumption of continuity cannot be dropped.},
address = {Berlin},
author = {Martin Schweizer},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G10; 330; relative entropy; minimal martingale measure; equivalent martingale measures},
language = {eng},
note = {urn:nbn:de:kobv:11-10060779},
number = {1998,106},
publisher = {Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes},
title = {A minimality property of the minimal martingale measure},
type = {SFB 373 Discussion Paper},
url = {http://hdl.handle.net/10419/61305},
year = {1998}
}