# 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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