A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.
Mania, M., Tevzadze, R. (2003)
Georgian Mathematical Journal
Similarity:
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
Displaying similar documents to “The Bellman equation related to the minimal entropy martingale measure.”
A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.
An exponential martingale equation.
Mania, Mikhael, Tevzadze, Revaz (2006)
Electronic Communications in Probability [electronic only]
Similarity:
Equivalent martingale measures for Lévy processes.
Önalan, Ömer (2008)
Acta Universitatis Apulensis. Mathematics - Informatics
Similarity:
Characterization of a regular family of semimartingales by line integrals.
Chitashvili, R., Mania, M. (1996)
Georgian Mathematical Journal
Similarity:
Predictable representation property of some Hilbertian martingales.
El Kadiri, M. (2008)
Acta Mathematica Universitatis Comenianae. New Series
Similarity:
Autoregressive type martingale fields.
Karácsony, Zsolt (2006)
Acta Mathematica Academiae Paedagogicae Nyí regyháziensis. New Series [electronic only]
Similarity:
Gaussian moving averages and semimartingales.
Basse, Andreas (2008)
Electronic Journal of Probability [electronic only]
Similarity:
Optimal mean-variance robust hedging under asset price model misspecification.
Toronjadze, T. (2001)
Georgian Mathematical Journal
Similarity:
An Approach to Wealth Modelling
Stoynov, Pavel (2003)
Serdica Mathematical Journal
Similarity:
2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10 The change in the wealth of a market agent (an investor, a company, a bank etc.) in an economy is a popular topic in finance. In this paper, we propose a general stochastic model describing the wealth process and give some of its properties and special cases. A result regarding the probability of default within the framework of the model is also offered.
Tagged particle limit for a Fleming-Viot type system.
Grigorescu, Ilie, Kang, Min (2006)
Electronic Journal of Probability [electronic only]
Similarity:
Strong innovation and its applications to information diffusion modelling in finance.
Toronjadze, T. (2002)
Georgian Mathematical Journal
Similarity:
On stochastic differential equations in a configuration space.
Skorokhod, A. (2001)
Georgian Mathematical Journal
Similarity:
An essay on the general theory of stochastic processes.
Nikeghbali, Ashkan (2006)
Probability Surveys [electronic only]
Similarity: