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A Semimartingale Bellman Equation and the Variance-Optimal Martingale Measure. Correction
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M. Mania
Published/Copyright:
February 26, 2010
Abstract
Corrections are given for [Mania and Tevzadze, Georgian Math. J. 7: 765–792, 2000], most of which consist in replacing “ess sup” by “ess inf” in all the exposed formulas.
Key words and phrases:: Backward semimartingale equation; incomplete markets; contingent claim pricing; variance-optimal martingale measure; the Bellman equation
Published Online: 2010-02-26
Published in Print: 2002-March
© Heldermann Verlag
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Keywords for this article
Backward semimartingale equation;
incomplete markets;
contingent claim pricing;
variance-optimal martingale measure;
the Bellman equation
Articles in the same Issue
- Application of Singular Integral Equations in the Boundary Value Problems of Electroelasticity
- Existence and Properties of ℎ-Sets
- On the Theory of Functional-Differential Inclusion of Neutral Type
- Cesàro Means of Trigonometric Fourier Series
- Estimates of a Stabilization Rate as 𝑡 → ∞ Solutions of a Nonlinear Integro-Differential Equation
- On Kan Fibrations for Maltsev Algebras
- On the Uniqueness Property for Products of Symmetric Invariant Probability Measures
- Mackey Continuity of Characteristic Functionals
- Linear Dynamical Systems: An Axiomatic Approach
- The Bochner Mean Square Deviation and Law of Large Numbers for Squares of Random Elements in Banach Lattices
- A Strong Solution of an Evolution Problem with Integral Conditions
- On Some Properties of 𝑟-Maximal Sets and 𝑄1–𝑁-Reducibility
- On the Dimension of Some Spaces of Generalized Ternary Theta-Series
- Solution of a Linear Integral Equation of Third Kind
- A Semimartingale Bellman Equation and the Variance-Optimal Martingale Measure. Correction
