137 citations · 177 across the 8 of their papers we have counts for
12 papers
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…
Functional equations and martingales
Michael Mania, Luka Tikanadze
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…
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…
On regularity of primal and dual dynamic value functions related to investment problem
Michael Mania, Revaz Tevzadze
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 betwe…