The Bellman equation related to the minimal entropy martingale measure.
Mania, M.; Santacroce, M.; Tevzadze, R.
Georgian Mathematical Journal (2004)
- Volume: 11, Issue: 1, page 125-135
- ISSN: 1072-947X
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topMania, M., Santacroce, M., and Tevzadze, R.. "The Bellman equation related to the minimal entropy martingale measure.." Georgian Mathematical Journal 11.1 (2004): 125-135. <http://eudml.org/doc/55559>.
@article{Mania2004,
author = {Mania, M., Santacroce, M., Tevzadze, R.},
journal = {Georgian Mathematical Journal},
keywords = {Minimal entropy martingale measure; backward stochastic differential equation; Bellman equation; incomplete market; stochastic volatility model},
language = {eng},
number = {1},
pages = {125-135},
publisher = {Walter de Gruyter},
title = {The Bellman equation related to the minimal entropy martingale measure.},
url = {http://eudml.org/doc/55559},
volume = {11},
year = {2004},
}
TY - JOUR
AU - Mania, M.
AU - Santacroce, M.
AU - Tevzadze, R.
TI - The Bellman equation related to the minimal entropy martingale measure.
JO - Georgian Mathematical Journal
PY - 2004
PB - Walter de Gruyter
VL - 11
IS - 1
SP - 125
EP - 135
LA - eng
KW - Minimal entropy martingale measure; backward stochastic differential equation; Bellman equation; incomplete market; stochastic volatility model
UR - http://eudml.org/doc/55559
ER -
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