The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach

DOI10.2989/16073606.2011.594229zbMath1274.91490OpenAlexW2032169204MaRDI QIDQ2862748

Rodwell Kufakunesu

Publication date: 19 November 2013

Published in: Quaestiones Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2989/16073606.2011.594229

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Quasilinear parabolic equations (35K59) Classical solutions to PDEs (35A09)

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