Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order &i&q&/i& and Order Zero

摘要

Generally in this paper, we show how the new version of parameter? in Jacod decomposition will change an expression of entropy-Hellinger process of order one, order q and order zero and consequently an equation of minimal entropy Hellinger sigma martingale density for all orders. This is because even the measurable function? which is an important parameter of an equation of minimal martingale density changes. In order to get a required parameter , we introduce the function? during our calculation for all orders. The result is different to order zero because we failed to get an equation of minimal entropy-Hellinger sigma martingale density of order zero.