A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market.

DOI10.1016/S0304-4149(00)00038-7zbMath1046.60041MaRDI QIDQ1879481

Michael Mania

Publication date: 22 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic controlvalue functionmartingale measurebackward semimartingale equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Martingales with continuous parameter (60G44)

Related Items

Backward stochastic partial differential equations related to utility maximization and hedging

Cites Work

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