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Author ID: mania.michael Recent zbMATH articles by "Mania, Michael"
Published as: Mania, M.; Mania, Michael; Mania, M. G.; Mania, Mikhael; Maniya, M. G.; Manija, M. G.
External Links: MGP · Google Scholar · Math-Net.Ru · dblp
Documents Indexed: 55 Publications since 1977, including 1 Additional arXiv Preprint
Co-Authors: 12 Co-Authors with 48 Joint Publications
180 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

38 Publications have been cited 278 times in 184 Documents Cited by Year
Dynamic exponential utility indifference valuation. Zbl 1134.91449
Mania, Michael; Schweizer, Martin
77
2005
Mean-variance hedging via stochastic control and BSDEs for general semimartingales. Zbl 1273.60053
Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; Schweizer, Martin
31
2012
Backward stochastic PDE and imperfect hedging. Zbl 1094.91029
Mania, M.; Tevzadze, R.
17
2003
A semimartingale BSDE related to the minimal entropy martingale measure. Zbl 1063.91037
Mania, Michael; Santacroce, Marina; Tevzadze, Revaz
15
2003
Exponential utility maximization under partial information. Zbl 1226.91091
Mania, Michael; Santacroce, Marina
15
2010
A unified characterization of \(q\)-optimal and minimal entropy martingale measures by semimartingale backward equations. Zbl 1040.60058
Mania, M.; Tevzadze, R.
14
2003
Backward stochastic partial differential equations related to utility maximization and hedging. Zbl 1393.60070
Mania, M.; Tevzadze, R.
12
2008
A semimartingale backward equation and the variance-optimal martingale measure under general information flow. Zbl 1125.91356
Mania, Michael; Tevzadze, Revaz
11
2003
Mean-variance hedging under partial information. Zbl 1173.91393
Mania, Michael; Tevzadze, Revaz; Toronjadze, Teimuraz
10
2008
A semimartingale Bellman equation and the variance-optimal martingale measure. Zbl 0973.91030
Mania, M.; Tevzadze, R.
9
2000
Generalized Itô formula and derivation of Bellman’s equation. Zbl 0870.60074
Chitashvili, Revaz; Mania, Mikhael
7
1996
Backward stochastic PDEs related to the utility maximization problem. Zbl 1204.91136
Mania, Michael; Tevzadze, Revaz
7
2010
On functions transforming a Wiener process into a semimartingale. Zbl 0882.60080
Chitashvili, R.; Mania, M.
5
1997
Optimal locally absolutely continuous change of measure. Finite set of decisions. I. Zbl 0622.93077
Chitashvili, R. J.; Mania, M. G.
5
1987
Semimartingale functions of a class of diffusion processes. Zbl 0979.60067
Mania, M.; Tevzadae, R.
4
2000
New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations. Zbl 1321.60084
Chikvinidze, B.; Mania, M.
4
2014
The Bellman equation related to the minimal entropy martingale measure. Zbl 1163.91416
Mania, M.; Santacroce, M.; Tevzadze, R.
3
2004
On optimal controls in the problem of locally absolutely continuous change of measure (compact sets of decisions). Zbl 0652.60051
Chitashvili, R. J.; Mania, M. G.
3
1987
Decomposition of the maximum of semimartingales and generalized Itô’s formula. Zbl 0778.60032
Chitashvili, R. J.; Mania, M. G.
3
1991
\(L^{2}\)-approximating pricing under restricted information. Zbl 1228.91078
Mania, M.; Tevzadze, R.; Toronjadze, T.
3
2009
Characterization of a regular family of semimartingales by line integrals. Zbl 0872.60043
Chitashvili, R.; Mania, M.
2
1996
Optimal locally absolutely continuous change of measure. Finite set of decisions. II: Optimization problems. Zbl 0639.93065
Chitashvili, R. J.; Mania, M. G.
2
1987
A probabilistic method of solving Lobachevsky’s functional equation. Zbl 1470.60119
Mania, Michael
2
2021
An exponential martingale equation. Zbl 1112.60035
Mania, Mikhael; Tevzadze, Revaz
2
2006
Change of variable formulas for non-anticipative functionals. Zbl 1461.60058
Mania, Michael; Tevzadze, Revaz
2
2020
Stochastic line integrals with respect to local martingales and semimartingales. Zbl 0953.60041
Chitashvili, R.; Mania, M.
1
1999
Semimartingale characterization of generalized derivatives. Zbl 0886.60036
Mania, M.
1
1997
Derivation of a generalized Black-Scholes equation. Zbl 0912.60064
Mania, M.
1
1997
A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. Zbl 1046.60041
Mania, M.
1
2000
A semimartingale Bellman equation for the mean-variance hedging problem. Zbl 1104.91039
Mania, M.; Tevzadze, R.
1
2002
On functions transforming Brownian motion into a Dirichlet process. Zbl 0968.60074
Chitashvili, R.; Mania, M.
1
1996
A Bayesian-martingale approach to the general disorder problem. Zbl 1121.60045
Kavtaradze, T.; Lazrieva, N.; Mania, M.; Muliere, P.
1
2007
On martingale transformations of multidimensional Brownian motion. Zbl 1482.60060
Mania, M.; Tevzadze, R.
1
2021
A martingale equation of exponential type. Zbl 1101.60049
Mania, Michael; Tevzadze, Revaz
1
2006
On martingale transformations of the linear Brownian motion. Zbl 1513.60047
Mania, Michael; Tevzadze, Revaz
1
2020
On regularity of primal and dual dynamic value functions related to investment problems and their representations as backward stochastic PDE solutions. Zbl 1422.91662
Mania, Michael; Tevzadze, Revaz
1
2017
Backward stochastic PDE and hedging in incomplete markets. Zbl 1159.91394
Mania, M.; Tevzadze, R.
1
2002
On the properties of dynamic value functions in the problem of optimal investment in incomplete markets. Zbl 1307.91166
Mania, Michael; Tevzadze, Revaz
1
2015
A probabilistic method of solving Lobachevsky’s functional equation. Zbl 1470.60119
Mania, Michael
2
2021
On martingale transformations of multidimensional Brownian motion. Zbl 1482.60060
Mania, M.; Tevzadze, R.
1
2021
Change of variable formulas for non-anticipative functionals. Zbl 1461.60058
Mania, Michael; Tevzadze, Revaz
2
2020
On martingale transformations of the linear Brownian motion. Zbl 1513.60047
Mania, Michael; Tevzadze, Revaz
1
2020
On regularity of primal and dual dynamic value functions related to investment problems and their representations as backward stochastic PDE solutions. Zbl 1422.91662
Mania, Michael; Tevzadze, Revaz
1
2017
On the properties of dynamic value functions in the problem of optimal investment in incomplete markets. Zbl 1307.91166
Mania, Michael; Tevzadze, Revaz
1
2015
New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations. Zbl 1321.60084
Chikvinidze, B.; Mania, M.
4
2014
Mean-variance hedging via stochastic control and BSDEs for general semimartingales. Zbl 1273.60053
Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; Schweizer, Martin
31
2012
Exponential utility maximization under partial information. Zbl 1226.91091
Mania, Michael; Santacroce, Marina
15
2010
Backward stochastic PDEs related to the utility maximization problem. Zbl 1204.91136
Mania, Michael; Tevzadze, Revaz
7
2010
\(L^{2}\)-approximating pricing under restricted information. Zbl 1228.91078
Mania, M.; Tevzadze, R.; Toronjadze, T.
3
2009
Backward stochastic partial differential equations related to utility maximization and hedging. Zbl 1393.60070
Mania, M.; Tevzadze, R.
12
2008
Mean-variance hedging under partial information. Zbl 1173.91393
Mania, Michael; Tevzadze, Revaz; Toronjadze, Teimuraz
10
2008
A Bayesian-martingale approach to the general disorder problem. Zbl 1121.60045
Kavtaradze, T.; Lazrieva, N.; Mania, M.; Muliere, P.
1
2007
An exponential martingale equation. Zbl 1112.60035
Mania, Mikhael; Tevzadze, Revaz
2
2006
A martingale equation of exponential type. Zbl 1101.60049
Mania, Michael; Tevzadze, Revaz
1
2006
Dynamic exponential utility indifference valuation. Zbl 1134.91449
Mania, Michael; Schweizer, Martin
77
2005
The Bellman equation related to the minimal entropy martingale measure. Zbl 1163.91416
Mania, M.; Santacroce, M.; Tevzadze, R.
3
2004
Backward stochastic PDE and imperfect hedging. Zbl 1094.91029
Mania, M.; Tevzadze, R.
17
2003
A semimartingale BSDE related to the minimal entropy martingale measure. Zbl 1063.91037
Mania, Michael; Santacroce, Marina; Tevzadze, Revaz
15
2003
A unified characterization of \(q\)-optimal and minimal entropy martingale measures by semimartingale backward equations. Zbl 1040.60058
Mania, M.; Tevzadze, R.
14
2003
A semimartingale backward equation and the variance-optimal martingale measure under general information flow. Zbl 1125.91356
Mania, Michael; Tevzadze, Revaz
11
2003
A semimartingale Bellman equation for the mean-variance hedging problem. Zbl 1104.91039
Mania, M.; Tevzadze, R.
1
2002
Backward stochastic PDE and hedging in incomplete markets. Zbl 1159.91394
Mania, M.; Tevzadze, R.
1
2002
A semimartingale Bellman equation and the variance-optimal martingale measure. Zbl 0973.91030
Mania, M.; Tevzadze, R.
9
2000
Semimartingale functions of a class of diffusion processes. Zbl 0979.60067
Mania, M.; Tevzadae, R.
4
2000
A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. Zbl 1046.60041
Mania, M.
1
2000
Stochastic line integrals with respect to local martingales and semimartingales. Zbl 0953.60041
Chitashvili, R.; Mania, M.
1
1999
On functions transforming a Wiener process into a semimartingale. Zbl 0882.60080
Chitashvili, R.; Mania, M.
5
1997
Semimartingale characterization of generalized derivatives. Zbl 0886.60036
Mania, M.
1
1997
Derivation of a generalized Black-Scholes equation. Zbl 0912.60064
Mania, M.
1
1997
Generalized Itô formula and derivation of Bellman’s equation. Zbl 0870.60074
Chitashvili, Revaz; Mania, Mikhael
7
1996
Characterization of a regular family of semimartingales by line integrals. Zbl 0872.60043
Chitashvili, R.; Mania, M.
2
1996
On functions transforming Brownian motion into a Dirichlet process. Zbl 0968.60074
Chitashvili, R.; Mania, M.
1
1996
Decomposition of the maximum of semimartingales and generalized Itô’s formula. Zbl 0778.60032
Chitashvili, R. J.; Mania, M. G.
3
1991
Optimal locally absolutely continuous change of measure. Finite set of decisions. I. Zbl 0622.93077
Chitashvili, R. J.; Mania, M. G.
5
1987
On optimal controls in the problem of locally absolutely continuous change of measure (compact sets of decisions). Zbl 0652.60051
Chitashvili, R. J.; Mania, M. G.
3
1987
Optimal locally absolutely continuous change of measure. Finite set of decisions. II: Optimization problems. Zbl 0639.93065
Chitashvili, R. J.; Mania, M. G.
2
1987
all top 5

Cited by 226 Authors

15 Mania, Michael
9 Tevzadze, Revaz
7 Kohlmann, Michael
7 Santacroce, Marina
7 Xiong, Dewen
5 Ceci, Claudia
5 Kallsen, Jan
5 Schweizer, Martin
5 Žitković, Gordan
4 Frei, Christoph
4 Fujii, Masaaki
4 Liang, Gechun
4 Richou, Adrien
4 Zariphopoulou, Thaleia
3 Di Nunno, Giulia
3 Dolinsky, Yan
3 Gerardi, Anna
3 Hu, Ying
3 Khedher, Asma
3 Malamud, Semyon
3 Morlais, Marie-Amelie
3 Muhle-Karbe, Johannes
3 Ngoupeyou, Armand
3 Nutz, Marcel
3 Peng, Xingchun
3 Takahashi, Akihiko
3 Tardelli, Paola
3 Touzi, Nizar
3 Vanmaele, Michèle
3 Wong, Hoi Ying
3 Xing, Hao
2 Anthropelos, Michail
2 Becherer, Dirk
2 Benth, Fred Espen
2 Černý, Aleš
2 Chen, Fenge
2 Cheridito, Patrick
2 Chitashvili, Revaz Ya.
2 Choulli, Tahir
2 Covello, D.
2 El Karoui, Nicole
2 Goutte, Stéphane
2 Horst, Ulrich
2 Imkeller, Peter
2 Källblad, Sigrid
2 Kentia, Klebert
2 Kromer, Eduard
2 Kuhn, Christoph
2 Laeven, Roger J. A.
2 Mocha, Markus
2 Nam, Kihun
2 Overbeck, Ludger
2 Possamaï, Dylan
2 Qiu, Jinniao
2 Réveillac, Anthony
2 Robertson, Scott
2 Russo, Francesco
2 Stadje, Mitja
2 Toronjadze, Teimuraz
2 Trivellato, Barbara
2 Westray, Nicholas
2 Yao, Song
2 Zhou, Qing
1 Aihara, Shin’ichi
1 Aliev, A. F.
1 Arai, Takuji
1 Bagchi, Arunabha
1 Balter, Anne G.
1 Bandini, Elena
1 Bank, Peter
1 Barrieu, Pauline M.
1 Bartl, Daniel
1 Beißner, Patrick
1 Brachetta, Matteo
1 Büttner, Martin
1 Chassagneux, Jean-François
1 Chen, Bingzheng
1 Chen, Shaokuan
1 Chen, Ze
1 Chikvinidze, Besik
1 Chiu, Henry
1 Chiu, Mei Choi
1 Chong, Wing Fung
1 Choukroun, Sébastien
1 Colaneri, Katia
1 Cont, Rama
1 Cretarola, Alessandra
1 Czichowsky, Christoph
1 Dai, Min
1 Dai, Wanyang
1 Delbaen, Freddy
1 Delong, Łukasz
1 Deng, Jun
1 Detemple, Jerome B.
1 Dhaene, Jan
1 Dong, Juan
1 Du, Kai
1 Egorov, Sergei
1 Ellanskaya, Anastasiya
1 Espinosa, Gilles-Edouard
...and 126 more Authors
all top 5

Cited in 55 Serials

17 Stochastic Processes and their Applications
13 Mathematical Finance
10 Stochastic Analysis and Applications
10 Stochastics
9 The Annals of Applied Probability
9 International Journal of Theoretical and Applied Finance
7 Applied Mathematical Finance
7 Finance and Stochastics
7 Quantitative Finance
7 SIAM Journal on Financial Mathematics
5 Applied Mathematics and Optimization
5 Mathematics and Financial Economics
4 Journal of Applied Probability
4 Insurance Mathematics & Economics
4 Electronic Journal of Probability
3 Journal of Mathematical Analysis and Applications
3 The Annals of Probability
3 Journal of Computational and Applied Mathematics
3 SIAM Journal on Control and Optimization
3 Probability, Uncertainty and Quantitative Risk
2 Advances in Applied Probability
2 Stochastics
2 Theory of Probability and its Applications
2 Statistics & Probability Letters
2 Probability Theory and Related Fields
2 Journal of Theoretical Probability
2 Aequationes Mathematicae
2 Journal of Mathematical Sciences (New York)
2 Probability in the Engineering and Informational Sciences
2 Decisions in Economics and Finance
2 Annals of Finance
1 Mathematics of Operations Research
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Optimization
1 Journal of Economic Dynamics & Control
1 Journal of Applied Mathematics and Stochastic Analysis
1 European Journal of Operational Research
1 SIAM Journal on Scientific Computing
1 Theory of Probability and Mathematical Statistics
1 Applicationes Mathematicae
1 Bernoulli
1 Discrete and Continuous Dynamical Systems
1 Mathematical Problems in Engineering
1 Doklady Mathematics
1 Abstract and Applied Analysis
1 Mathematical Methods of Operations Research
1 Scandinavian Actuarial Journal
1 Journal of Systems Science and Complexity
1 Journal of Industrial and Management Optimization
1 Proceedings of the Steklov Institute of Mathematics
1 Science China. Mathematics
1 European Actuarial Journal
1 JSIAM Letters
1 Transactions of the London Mathematical Society
1 Transactions of A. Razmadze Mathematical Institute

Citations by Year