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Author ID: tevzadze.revaz Recent zbMATH articles by "Tevzadze, Revaz"
Published as: Tevzadze, Revaz; Tevzadze, R.; Tevzadae, R.
Homepage: https://www.cybernet.ge/tevzadze.htm
Documents Indexed: 43 Publications since 1994, including 1 Additional arXiv Preprint
Co-Authors: 8 Co-Authors with 34 Joint Publications
34 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

24 Publications have been cited 207 times in 152 Documents Cited by Year
Solvability of backward stochastic differential equations with quadratic growth. Zbl 1175.60064
Tevzadze, Revaz
63
2008
Robust utility maximization for a diffusion market model with misspecified coefficients. Zbl 1270.91027
Tevzadze, Revaz; Toronjadze, Teimuraz; Uzunashvili, Tamaz
24
2013
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
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
Backward stochastic PDEs related to the utility maximization problem. Zbl 1204.91136
Mania, Michael; Tevzadze, Revaz
7
2010
Semimartingale functions of a class of diffusion processes. Zbl 0979.60067
Mania, M.; Tevzadae, R.
4
2000
The Bellman equation related to the minimal entropy martingale measure. Zbl 1163.91416
Mania, M.; Santacroce, M.; Tevzadze, R.
3
2004
\(L^{2}\)-approximating pricing under restricted information. Zbl 1228.91078
Mania, M.; Tevzadze, R.; Toronjadze, T.
3
2009
Markov dilation of diffusion type processes and its application to the financial mathematics. Zbl 0932.60062
Tevzadze, R.
2
1999
Robust mean-variance hedging and pricing of contingent claims in a one period model. Zbl 1241.91121
Tevzadze, R.; Uzunashvili, T.
2
2012
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
A semimartingale Bellman equation for the mean-variance hedging problem. Zbl 1104.91039
Mania, M.; Tevzadze, R.
1
2002
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
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
Robust utility maximization for a diffusion market model with misspecified coefficients. Zbl 1270.91027
Tevzadze, Revaz; Toronjadze, Teimuraz; Uzunashvili, Tamaz
24
2013
Robust mean-variance hedging and pricing of contingent claims in a one period model. Zbl 1241.91121
Tevzadze, R.; Uzunashvili, T.
2
2012
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
Solvability of backward stochastic differential equations with quadratic growth. Zbl 1175.60064
Tevzadze, Revaz
63
2008
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
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
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
Markov dilation of diffusion type processes and its application to the financial mathematics. Zbl 0932.60062
Tevzadze, R.
2
1999
all top 5

Cited by 184 Authors

12 Mania, Michael
10 Hu, Ying
9 Tevzadze, Revaz
7 Santacroce, Marina
6 Nutz, Marcel
6 Xiong, Dewen
5 Neufeld, Ariel David
5 Possamaï, Dylan
5 Richou, Adrien
5 Tang, Shanjian
4 Frei, Christoph
4 Fujii, Masaaki
4 Kohlmann, Michael
4 Lin, Yiqing
4 Luo, Peng
4 Šikić, Mario
4 Wang, Falei
4 Xing, Hao
4 Zhou, Chao
4 Žitković, Gordan
3 Biagini, Francesca
3 Dolinsky, Yan
3 dos Reis, Gonçalo
3 Hu, Mingshang
3 Liang, Gechun
3 Nam, Kihun
3 Schweizer, Martin
3 Takahashi, Akihiko
3 Wong, Hoi Ying
2 Bahlali, Khaled
2 Becherer, Dirk
2 Černý, Aleš
2 Chassagneux, Jean-François
2 Chen, Yuyang
2 Covello, D.
2 Eddahbi, M’hamed
2 El Karoui, Nicole
2 Elie, Romuald
2 Horst, Ulrich
2 Imkeller, Peter
2 Jackson, Joe
2 Ji, Shaolin
2 Källblad, Sigrid
2 Kallsen, Jan
2 Kentia, Klebert
2 Kramkov, Dmitriĭ Olegovich
2 Kupper, Michael
2 Li, Bin
2 Lionnet, Arnaud
2 Mocha, Markus
2 Park, Kyunghyun
2 Pulido, Sergio
2 Qiu, Jinniao
2 Réveillac, Anthony
2 Toronjadze, Teimuraz
2 Trivellato, Barbara
2 Wen, Jiaqiang
2 Westray, Nicholas
2 Yao, Song
2 Zhang, Jianing
2 Zhou, Qing
1 Aihara, Shin’ichi
1 Bagchi, Arunabha
1 Balter, Anne G.
1 Bank, Peter
1 Barrieu, Pauline M.
1 Bartl, Daniel
1 Benth, Fred Espen
1 Bielagk, Jana
1 Bouchard, Bruno
1 Briand, Philippe
1 Büttner, Martin
1 Ceci, Claudia
1 Chau, Huy N.
1 Chen, Shaokuan
1 Chen, Xin
1 Cheridito, Patrick
1 Chikvinidze, Besik
1 Chiu, Henry
1 Choulli, Tahir
1 Cont, Rama
1 Cruzeiro, Ana-Bela
1 Czichowsky, Christoph
1 Dahya, Raj
1 Delbaen, Freddy
1 Du, Kai
1 Egorov, Sergei
1 El Mansour, Meriam
1 Escauriaza Zubiria, Luis
1 Fan, Shengjun
1 Fouque, Jean-Pierre
1 Fu, Guanxing
1 Gerardi, Anna
1 Graewe, Paulwin
1 Hao, Tao
1 Harter, Jonathan
1 Henderson, Vicky
1 Herdegen, Martin
1 Hernández, Camilo
1 Hibon, Hélène
...and 84 more Authors
all top 5

Cited in 46 Serials

24 Stochastic Processes and their Applications
10 Finance and Stochastics
9 SIAM Journal on Control and Optimization
9 Mathematical Finance
8 The Annals of Applied Probability
8 Stochastics
8 SIAM Journal on Financial Mathematics
6 Stochastic Analysis and Applications
5 Journal of Mathematical Analysis and Applications
5 Probability, Uncertainty and Quantitative Risk
4 Electronic Journal of Probability
4 Quantitative Finance
3 The Annals of Probability
3 Statistics & Probability Letters
3 Journal of Theoretical Probability
3 International Journal of Theoretical and Applied Finance
3 Mathematics and Financial Economics
2 Applied Mathematics and Optimization
2 Journal of Applied Probability
2 Journal of Differential Equations
2 Probability Theory and Related Fields
2 Journal of Mathematical Sciences (New York)
1 Theory of Probability and its Applications
1 Journal of Computational and Applied Mathematics
1 Journal of Functional Analysis
1 Mathematics of Operations Research
1 Journal of Global Optimization
1 Aequationes Mathematicae
1 European Journal of Operational Research
1 Theory of Probability and Mathematical Statistics
1 Applied Mathematical Finance
1 Discrete and Continuous Dynamical Systems
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Abstract and Applied Analysis
1 Mathematical Methods of Operations Research
1 Infinite Dimensional Analysis, Quantum Probability and Related Topics
1 Journal of Systems Science and Complexity
1 Decisions in Economics and Finance
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Stochastics and Dynamics
1 Asia-Pacific Financial Markets
1 MathematicS In Action
1 Mathematical Control and Related Fields
1 Transactions of the London Mathematical Society
1 Transactions of A. Razmadze Mathematical Institute
1 Graduate Journal of Mathematics

Citations by Year