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Some Bregman distances between financial diffusion processes
Author(s) -
Stummer Wolfgang
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700814
Subject(s) - diffusion , bregman divergence , mathematics , statistical physics , econometrics , statistics , mathematical economics , physics , quantum mechanics
We introduce Bregman distances between general probability measures, and discuss some link with Csiszar divergences. From this, we derive bounds on particular Bregman distances between non–lognormally distributed financial diffusion processes. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)