[1] B. Oksendal, “Stochastic Differential Equations,” 6th Edition, Springer-Verlag, Berlin, 2007.
[2] M. Schweizer, “On the Minimal Martingale Measure and the Mollmer-Schweizer Decomposition,” Stochastic Analysis and Applications, Vol. 13, No. 5, 1995, pp. 573-599.
http://dx.doi.org/10.1080/07362999508809418
[3] M. Fritelli, “The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets,” Mathematical Finance, Vol. 10, No. 1, 2000, pp. 39-52.
http://dx.doi.org/10.1111/1467-9965.00079
[4] H. U. Gerber and E. S. W. Shi, “Option Pricing by Esscher Transforms,” Transactions of the Society of Actuaries, Vol. 46, 1994, pp. 99-191.
[5] M. Jeanblanc, S. Kloppel and Y. Miyahara, “Minimal -Martingale Measures for Exponential Lévy Processes,” The Annals of Applied Probability, Vol. 17, No. 5-6, 2007, pp. 1615-1638.
http://dx.doi.org/10.1214/07-AAP439
[6] S. Mataramvura, P. Dankemlmann and S. W. Mgobhozi, “Completion of Markets by Variation Processes,” Working Paper, 2013.