Open Access
2006 An Exponential Martingale Equation
Revaz Tevzadze, Mikhael Mania
Author Affiliations +
Electron. Commun. Probab. 11: 206-216 (2006). DOI: 10.1214/ECP.v11-1220


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.


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Revaz Tevzadze. Mikhael Mania. "An Exponential Martingale Equation." Electron. Commun. Probab. 11 206 - 216, 2006.


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

zbMATH: 1112.60035
MathSciNet: MR2266711
Digital Object Identifier: 10.1214/ECP.v11-1220

Primary: 90A09
Secondary: 60H30 , 90C39

Keywords: backward stochastic differential equation , exponential martingale , martingale measures

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