137 citations · 177 across the 8 of their papers we have counts for
Showing 2012 · math.PRShow all
2 papers · 2 filters
math.PR2012★ 39 cited
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…
math.PR2012★ 1 cited
New proofs of some results on BMO martingales using BSDEs
Besik Chikvinidze, Michael Mania
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.