Zobrazeno 1 - 10
of 60
pro vyhledávání: '"Mania, Michael"'
We consider stochastic versions of the Cauchy exponential functional equation and give a martingale characterization of the general solution.
Comment: 16 pages
Comment: 16 pages
Externí odkaz:
http://arxiv.org/abs/2112.14189
Autor:
Mania, Michael, Tevzadze, Revaz
We describe the class of functions $f: R^n\to R^m$ which transform a vector Brownian Motion into a martingale and use this description to give martingale characterization of the general measurable solution of the multidimensional Cauchy functional eq
Externí odkaz:
http://arxiv.org/abs/2006.08986
Autor:
Mania, Michael, Tikanadze, Luka
We consider functional equations (Cauchy's, Abel's and some other functional equations) and show that to find general solution of these equations is equivalent to establish that a space-transformation of a Brownian Motion by suitable function (or fun
Externí odkaz:
http://arxiv.org/abs/1912.06299
Autor:
Mania, Michael, Tevzadze, Revaz
For non-anticipative functionals, differentiable in Chitashvili's sense, the It\^o formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.
Externí odkaz:
http://arxiv.org/abs/1903.11571
Autor:
Mania, Michael, Tevzadze, Revaz
Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximiza- tion problem is established. Besides, we derive another version of FBSDE of the same problem and prove an existence of a solution
Externí odkaz:
http://arxiv.org/abs/1801.01011
Autor:
Mania, Michael, Tevzadze, Revaz
We study regularity properties of the dynamic value functions of primal and dual problems of optimal investing for utility functions defined on the whole real line. Relations between decomposition terms of value processes of primal and dual problems
Externí odkaz:
http://arxiv.org/abs/1604.00525
Publikováno v:
Annals of Applied Probability 2012, Vol. 22, No. 6, 2388-2428
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterize its three coe
Externí odkaz:
http://arxiv.org/abs/1211.6820
Autor:
Chikvinidze, Besik, Mania, Michael
Using properties of backward stochastic differential equations we give new proofs of some well known results on BMO martingales and improve some estimates of BMO norms.
Comment: 15 pages
Comment: 15 pages
Externí odkaz:
http://arxiv.org/abs/1205.1249
Autor:
Mania, Michael, Schweizer, Martin
Publikováno v:
Annals of Applied Probability 2005, Vol. 15, No. 3, 2113-2143
We study the dynamics of the exponential utility indifference value process C(B;\alpha) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B;\alpha) is (the first component of) the unique solution
Externí odkaz:
http://arxiv.org/abs/math/0508489
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.