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"A Semimartingale Backward Equation and the Variance-Optimal Martingale ..."

Michael Mania, Revaz Tevzadze (2003)

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DOI: 10.1137/S036301290240628X

access: closed

type: Journal Article

metadata version: 2020-07-09

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  - journals/siamco/ManiaT03
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  - https://dblp.org/rec/journals/siamco/ManiaT03
Michael Mania, Revaz Tevzadze:
A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow. SIAM J. Control. Optim. 42(5): 1703-1726 (2003)

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