Open AccessNon-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling
Author(s) -
Muhammad Sheraz,
Vasile Preda,
Silvia Dedu
Publication year - 2020
Publication title -
aims mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.329
H-Index - 15
ISSN - 2473-6988
DOI - 10.3934/math.2020020
Subject(s) - mathematics , martingale (probability theory) , doob's martingale inequality , markov chain , entropy (arrow of time) , pure mathematics , discrete mathematics , martingale difference sequence , statistics , physics , thermodynamics