2 papers
q-fin.PM2008
Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets
N. Lazrieva, T. Toronjadze
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -ro…
math.PR2007
Solvability of Backward Stochastic Differential Equations with Quadratic Growth
Revaz Tevzadze
We prove the existence of the unique solution of a general Backward Stochastic Differential Equation with quadratic growth driven by martingales. Some kind of comparison theorem is…