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The Bellman Equation Related to the Minimal Entropy Martingale Measure
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M. Mania
Published/Copyright:
March 3, 2010
Abstract
We derive a backward stochastic differential equation and a Bellman equation characterizing the minimal entropy martingale measure for market models, where asset prices are driven by Markov diffusion processes. A relation between these equations is established.
Key words and phrases:: Minimal entropy martingale measure; backward stochastic differential equation; Bellman equation; incomplete market; stochastic volatility model
Received: 2003-09-14
Published Online: 2010-03-03
Published in Print: 2004-March
© Heldermann Verlag
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Keywords for this article
Minimal entropy martingale measure;
backward stochastic differential equation;
Bellman equation;
incomplete market;
stochastic volatility model
Articles in the same Issue
- Some Integral Operators which Preserve a Subclass of Uniformly Quasiconvex Functions
- Linearization and Higher Order Nonlinear Oscillation Theorems Using Comparison Methods
- The Structure of 𝐺-Free Nilpotent Groups of Step 3
- Fuzzy Solutions for Neutral Functional Differential Equations with Nonlocal Conditions
- Projective Bundles on Infinite-Dimensional Complex Spaces
- Explicit Solutions of the Basic Boundary Value Problems of Statics of the Elastic Mixture Theory for an Annulus
- Particular Solutions for a Class of ODE Related to the L-Exponential Functions
- On Hyers–Ulam Stability of Cauchy and Wilson Equations
- Common Fixed Points Iteration Processes for a Finite Family of Asymptotically Nonexpansive Mappings
- Varieties of Universal Algebras with Normal Local Projections
- Integrability and L1-Convergence of Modified Sine Sums
- On Homogeneous Coverings of Euclidean Spaces
- On Entire Modular Forms of Half-Integral Weight on the Congruence Subgroup Γ0(4N)
- The Bellman Equation Related to the Minimal Entropy Martingale Measure
- Oscillation and Nonoscillation Criteria for two-Dimensional Systems of Linear Ordinary Differential Equations
- Formulas of Variation for a Solution of Neutral Differential Equations with Continuous Initial Condition
- Positive Solutions of a Neutral Difference Equation with Positive and Negative Coefficients
- Two Sharp Inequalities of Simpson Type and Applications
- On the Equivalence between Ch and The Existence of Certain I-Luzin Subsets of ℝ
