Skip to main content

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 54.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

 References

  1. Biagini F., Guasoni P., Pratelli M.: Mean variance hedging for stochastic volatil-ity models. Math. Finance, 10, 109-123 (2000)

    Article  MATH  MathSciNet  Google Scholar 

  2. Chitashvili R.: Martingale ideology in the theory of controlled stochastic processes. Lect. Notes in Math., Springer, Berlin, 1021, 73-92 (1983)

    Google Scholar 

  3. Delbaen F., Schachermayer W.: Variance-optimal martingale measure for con-tinuous processes. Bernoulli 2 1, 81-105 (1986)

    Article  MathSciNet  Google Scholar 

  4. Dellacherie C., Meyer P.-A.: Probabilités et potentiel. Chapitres V a VIII. Théorie des martingales. Actualités Scientifiques et Industrielles Hermann, Paris, 1980

    MATH  Google Scholar 

  5. Dol/’eans-Dade K., Meyer P.-A.: Inégalités de normes avec poinds. Séminaire de Probabilités XIII, Lect. Notes in Math., Springer, Berlin, 721, 204-215 (1979)

    Google Scholar 

  6. El Karoui N., Huang S.J.: A general result of existence and uniqueness of back-ward stochastic differential equations. Pitman Res. Notes Math., 364, Longman, Harlow, 27-36 (1997)

    Google Scholar 

  7. Jacod J.: Calcul Stochastique et Problèmes des Martingales. Lecture Notes in Math., Springer, Berlin, 714, 1979.

    Google Scholar 

  8. Kazamaki N.: Continuous exponential martingales and BMO, Lecture Notes in Math., 1579, Springer, Berlin, N., 1994

    Google Scholar 

  9. Kobylanski M.: Backward stochastic differential equation and partial differential equations with quadratic growth. The Annals of Probability, 28, 558-602 (2000)

    Article  MATH  MathSciNet  Google Scholar 

  10. Lepeltier J.P., San Martin J.: Existence for BSDE with superlinear-quadratic coefficient. Stoch. Stoch. Rep. 63, 227-240 (1998)

    MATH  MathSciNet  Google Scholar 

  11. Liptser R.Sh., Shiryayev A.N.: Martingale theory, Nauka, Moscow, 1986

    MATH  Google Scholar 

  12. Mania M., Tevzadze R.: A Semimartingale Bellman equation and the variance-optimal martingale measure,. Georgian Math. J. 7, 765-792 (2000)

    MATH  MathSciNet  Google Scholar 

  13. Mania M., Tevzadze R.: A Semimartingale Bellman equation and the variance-optimal martingale measure under general information flow. SIAM Journal on Control and Optimization, 42, 1703-1726 (2003)

    Article  MATH  MathSciNet  Google Scholar 

  14. Schweizer M.: Approximation pricing and the variance optimal martingale mea-sure. The Annals of Probab. 24, 206-236 (1996)

    Article  MATH  MathSciNet  Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Rights and permissions

Reprints and permissions

Copyright information

© 2006 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

Mania, M., Tevzadze, R. (2006). A Martingale Equation of Exponential Type. In: From Stochastic Calculus to Mathematical Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-30788-4_24

Download citation

Publish with us

Policies and ethics