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The Bellman equation related to the minimal entropy martingale measure. (English) Zbl 1163.91416
Summary: 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.

MSC:
91B28 Finance etc. (MSC2000)
60H30 Applications of stochastic analysis (to PDEs, etc.)
90C39 Dynamic programming
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