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An Exponential Martingale Equation
Backward stochastic dierential equation exponential martingale
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2009/4/22
We prove an existence of a unique solution of an exponential martingale equation in the class of BMO martingales. The solution is used to characterize optimal martingale measures.
An Exponential Martingale Equation
Exponential Martingale Equation BMO martingales
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2009/4/2
We prove an existence of a unique solution of an exponential martingale equation in the class of BMO martingales. The solution is used to characterize optimal martingale measures.