The Bellman Equation Related to the Minimal Entropy Martingale Measure
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| 024 | 7 | 0 | |a 10.1515/GMJ.2004.125 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.1515/GMJ.2004.125 | ||
| 245 | 0 | 4 | |a The Bellman Equation Related to the Minimal Entropy Martingale Measure |h [Elektronische Daten] |c [M. Mania, M. Santacroce, R. Tevzadze] |
| 520 | 3 | |a We derive a backward stochastic differential equation and a Bellman equation characterizing the minimal entropy martingale measure for market models, where asset prices are driven by Markov diffusion processes. A relation between these equations is established. | |
| 540 | |a © Heldermann Verlag | ||
| 690 | 7 | |a Minimal entropy martingale measure |2 nationallicence | |
| 690 | 7 | |a backward stochastic differential equation |2 nationallicence | |
| 690 | 7 | |a Bellman equation |2 nationallicence | |
| 690 | 7 | |a incomplete market |2 nationallicence | |
| 690 | 7 | |a stochastic volatility model |2 nationallicence | |
| 700 | 1 | |a Mania |D M. |u A. Razmadze Mathematical Institute, Georgian Academy of Sciences, 1, M. Aleksidze St., Tbilisi 0193, Georgia. E-mail: mania@rmi.acnet.ge |4 aut | |
| 700 | 1 | |a Santacroce |D M. |u Dipartimento di Matematica, Politecnico di Torino, Italia |4 aut | |
| 700 | 1 | |a Tevzadze |D R. |u Institute of Cybernetics, Georgian Academy of Sciences, 1, S. Euli St., Tbilisi 0186, Georgia |4 aut | |
| 773 | 0 | |t Georgian Mathematical Journal |d Walter de Gruyter GmbH & Co. KG |g 11/1(2004-03), 125-135 |x 1072-947X |q 11:1<125 |1 2004 |2 11 |o GMJ | |
| 856 | 4 | 0 | |u https://doi.org/10.1515/GMJ.2004.125 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1515/GMJ.2004.125 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Mania |D M. |u A. Razmadze Mathematical Institute, Georgian Academy of Sciences, 1, M. Aleksidze St., Tbilisi 0193, Georgia. E-mail: mania@rmi.acnet.ge |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Santacroce |D M. |u Dipartimento di Matematica, Politecnico di Torino, Italia |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Tevzadze |D R. |u Institute of Cybernetics, Georgian Academy of Sciences, 1, S. Euli St., Tbilisi 0186, Georgia |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Georgian Mathematical Journal |d Walter de Gruyter GmbH & Co. KG |g 11/1(2004-03), 125-135 |x 1072-947X |q 11:1<125 |1 2004 |2 11 |o GMJ | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||