137 citations · 177 across the 8 of their papers we have counts for
10 papers · 1 filter
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…
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
Monique Jeanblanc, Michael Mania, Marina Santacroce +1
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 co…