which partitions the state space and applies the cross-entropy method to each partition. We investigate two versions of our …

the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI) statistics permit an …

commonly used in the literature. We also show how a formulation of a taste for variety as entropy that had been previously used …

This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm …

" to the physical probability measure P, where closeness is measured in terms of relative entropy. In this paper, we … determine the minimal entropy martingale measure in a market where securities are traded with payoffs depending on two types of … these risks are independent under the entropy measure. Moreover, in such a market the entropy measure of the combined …