scientific article; zbMATH DE number 2062295

zbMath1040.60058MaRDI QIDQ4459182

Revaz Tevzadze, Michael Mania

Publication date: 25 March 2004

Full work available at URL: https://eudml.org/doc/50819

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

backward stochastic differential equationpricingminimal entropy martingale measurecontingent claim\(q\)-optimal martingale measurebackward semimartingale equation

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (14)

BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs ⋮ Power utility maximization under partial information: some convergence results ⋮ The opportunity process for optimal consumption and investment with power utility ⋮ The Bellman equation for power utility maximization with semimartingales ⋮ Risk aversion asymptotics for power utility maximization ⋮ Optimal investment and consumption for financial markets with jumps under transaction costs ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ Exponential utility maximization under partial information ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Solvability of backward stochastic differential equations with quadratic growth ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ For which functions are 𝑓(𝑋_{𝑡})-𝔼𝕗(𝕏_{𝕥}) and 𝕘(𝕏_{𝕥})/𝔼𝕘(𝕏_{𝕥}) martingales?

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