Mania, Mikhael; Tevzadze, Revaz An exponential martingale equation. (English) Zbl 1112.60035 Electron. Commun. Probab. 11, 206-216 (2006). 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. Cited in 2 Documents 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) × Cite Format Result Cite Review PDF Full Text: DOI EuDML