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An exponential martingale equation. (English) Zbl 1112.60035

Summary: 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.

MSC:

60G44 Martingales with continuous parameter
90C39 Dynamic programming
60H20 Stochastic integral equations
60H30 Applications of stochastic analysis (to PDEs, etc.)
91B28 Finance etc. (MSC2000)
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