8 papers · 1 filter
The Adomian series representation of some quadratic BSDEs
Revaz Tevzadze
The representation of the solution of some Backward Stochastic Differential Equation as an infinite series is obtained. Some exactly solvable examples are considered.
Functional Equations for the Stochastic Exponential
Beso Chikvinidze, Michael Mania, Revaz Tevzadze
We consider stochastic versions of the Cauchy exponential functional equation and give a martingale characterization of the general solution.
Martingale Transformations of Brownian Motion with Application to Functional Equations
M. Mania, R. Tevzadze
We describe the classes of functions , for which processes and are martingales. We apply these results to give a martingale char…
On Martingale Transformations of Multidimensional Brownian Motion
Michael Mania, Revaz Tevzadze
We describe the class of functions which transform a vector Brownian Motion into a martingale and use this description to give martingale characterization of the ge…
Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximization problem
Michael Mania, Revaz Tevzadze
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…
Backward Stochastic PDEs related to the utility maximization problem
M. Mania, R. Tevzadze
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asse…