An Exponential Martingale Equation

Revaz Tevzadze; Mikhael Mania

doi:10.1214/ECP.v11-1220

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Home > Journals > Electron. Commun. Probab. > Volume 11 > Article

2006 An Exponential Martingale Equation

Revaz Tevzadze, Mikhael Mania

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Revaz Tevzadze,¹ Mikhael Mania²
¹Institute of Cybernetics and Georgian-American University
²A. Razmadze Mathematical Institute and Georgian–American University

Electron. Commun. Probab. 11: 206-216 (2006). DOI: 10.1214/ECP.v11-1220

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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.

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Revaz Tevzadze. Mikhael Mania. "An Exponential Martingale Equation." Electron. Commun. Probab. 11 206 - 216, 2006. https://doi.org/10.1214/ECP.v11-1220

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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

Subjects:

Primary: 90A09

Secondary: 60H30 , 90C39

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

Rights: Creative Commons Attribution 3.0 License

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Vol.11 • 2006

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Revaz Tevzadze, Mikhael Mania "An Exponential Martingale Equation," Electronic Communications in Probability, Electron. Commun. Probab. 11(none), 206-216, (2006)

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