A semimartingale BSDE related to the minimal entropy martingale measure

DOI10.1007/s007800200090zbMath1063.91037OpenAlexW2049837257MaRDI QIDQ1776003

Revaz Tevzadze, Michael Mania, Marina Santacroce

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200090

zbMATH Keywords

incomplete marketscontingent claim pricingsemimartingale backward equation

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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