Displaying similar documents to “The Bellman equation related to the minimal entropy martingale measure.”

An Approach to Wealth Modelling

Stoynov, Pavel (2003)

Serdica Mathematical Journal


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.