scientific article; zbMATH DE number 2062295

MaRDI QIDQ4459182zbMATH OpenFDO

Authors M. Mania, R. Tevzadze

Publication date 25 March 2004

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

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zbMATH Keywords

\(q\)-optimal martingale measurebackward semimartingale equationbackward stochastic differential equationcontingent claimminimal entropy martingale measurepricing

Mathematics Subject Classification ID

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

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(20)

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• A semimartingale BSDE related to the minimal entropy martingale measure
• The opportunity process for optimal consumption and investment with power utility
• Martingale Schrödinger bridges and optimal semistatic portfolios
• Backward stochastic partial differential equations related to utility maximization and hedging
• The Bellman equation for power utility maximization with semimartingales
• Risk aversion asymptotics for power utility maximization
• Solvability of backward stochastic differential equations with quadratic growth
• Power utility maximization under partial information: some convergence results
• Optimal consumption-investment under partial information in conditionally log-Gaussian models
• A semimartingale Bellman equation and the variance-optimal martingale measure
• Stability of the exponential utility maximization problem with respect to preferences
• BSDEs driven by multidimensional martingales and their applications to markets with funding costs
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• Optimal investment and consumption for financial markets with jumps under transaction costs
• Exponential utility maximization under partial information

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