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A semimartingale BSDE related to the minimal entropy martingale measure

https://doi.org/10.1007/s007800200090

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Continuous Martingales and Brownian Motion

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Calcul Stochastique et Problèmes de Martingales

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Martingale ideology in the theory of controlled stochastic processes

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Continuous Exponential Martingales and BMO

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Weighted norm inequalities and hedging in incomplete markets

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Mean-variance hedging for continuous processes: New proofs and examples

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Dynamic programming and mean-variance hedging

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Conjugate convex functions in optimal stochastic control

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Adapted solution of a backward stochastic differential equation

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Optimal locally absolutely continuous change of measure. finite set of decisions. part i

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Backward Stochastic Differential Equations in Finance

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Mean‐Variance Hedging and Numéraire

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The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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Mean‐Variance Hedging for Stochastic Volatility Models

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Pricing Via Utility Maximization and Entropy

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Exponential Hedging and Entropic Penalties

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Option Pricing Under Incompleteness and Stochastic Volatility

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Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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A Semimartingale Backward Equation Related to the p-Optimal Martingale Measure and the Lower Price of a Contingent Claim

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Approximation pricing and the variance-optimal martingale measure

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Approximating Random Variables by Stochastic Integrals

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$I$-Divergence Geometry of Probability Distributions and Minimization Problems

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A Semimartingale Bellman Equation and the Variance-Optimal Martingale Measure

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Stochastic Calculus and Applications.

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The Variance-Optimal Martingale Measure for Continuous Processes

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STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q ‐OPTIMAL MEASURE

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New Proofs of Some Results on Bounded Mean Oscillation Martingales Using Backward Stochastic Differential Equations

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Discretisation of FBSDEs driven by càdlàg martingales

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Solvability of backward stochastic differential equations with quadratic growth

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Stability of exponential utility maximization with respect to market perturbations

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Chapter 12 Incomplete Markets

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Exponential models by Orlicz spaces and applications

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The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model

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Optimal Exponential Utility in a Jump Bond Market

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The exp-UIV for Markets with Partial Information and Complete Information

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A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets

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On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure

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Minimum variance hedging in a model with jumps at Poisson random times

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European Exchange Option Pricing in Exponential Lévy Model

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MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS

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Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times

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BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs

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A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow

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Jump Bond Markets Some Steps towards General Models in Applications to Hedging and Utility Problems

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Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

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Existence and uniqueness results for BSDE with jumps: the whole nine yards

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A pricing defaultable claim model based on exponential utility indifference value process in an incomplete market

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A Unified Characterization of 𝑞-Optimal and Minimal Entropy Martingale Measures by Semimartingale Backward Equations

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The Bellman Equation Related to the Minimal Entropy Martingale Measure

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

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Backward stochastic differential equations driven by cadlag martingales

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Алгоритмы для оптимального управления стохастических систем переключающегося типа

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Stability of exponential utility maximization with respect to market perturbations

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