Optimal Equivalent Probability Measures under Enlarged Filtrations

  • Markus HessEmail author


In a general jump-diffusion Radon–Nikodym setup with stochastic Girsanov processes, we derive optimal equivalent probability measures. Optimality is measured in terms of minimum relative entropy and also by more general divergence concepts. We further provide an anticipative sufficient stochastic minimum principle and derive optimal equivalent probability measures under various enlarged filtration approaches.


Stochastic optimization problem Stochastic maximum/minimum principle Relative entropy Radon–Nikodym density Lévy process Enlarged filtration Stochastic differential equation 

Mathematical Subject Classification

93E20 60H05 60H10 60G44 

JEL Classification

C02 C61 



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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Mathematics DepartmentUniversité Libre de BruxellesBrusselsBelgium

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