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.


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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