A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.
Mania, M., Tevzadze, R. (2003)
Georgian Mathematical Journal
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A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.
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An Approach to Wealth Modelling
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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.
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