Electronic Communications in Probability

An Exponential Martingale Equation

Revaz Tevzadze and Mikhael Mania

Full-text: Open access

Abstract

We prove an existence of a unique solution of an exponential martingale equation in the class of BMO martingales. The solution is used to characterize optimal martingale measures.

Article information

Source
Electron. Commun. Probab., Volume 11 (2006), paper no. 22, 206-216.

Dates
Accepted: 27 September 2006
First available in Project Euclid: 4 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465058865

Digital Object Identifier
doi:10.1214/ECP.v11-1220

Mathematical Reviews number (MathSciNet)
MR2266711

Zentralblatt MATH identifier
1112.60035

Subjects
Primary: 90A09
Secondary: 60H30: Applications of stochastic analysis (to PDE, etc.) 90C39: Dynamic programming [See also 49L20]

Keywords
Backward stochastic differential equation exponential martingale martingale measures

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Tevzadze, Revaz; Mania, Mikhael. An Exponential Martingale Equation. Electron. Commun. Probab. 11 (2006), paper no. 22, 206--216. doi:10.1214/ECP.v11-1220. https://projecteuclid.org/euclid.ecp/1465058865


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