M. Mania

activity

20052021

most citedDynamic exponential utility indifference valuation

137 citations · 177 across the 8 of their papers we have counts for

collaborators

Showing 2021Show all

2 papers · 1 filter

math.PR2021

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.

math.PR2021

Martingale Transformations of Brownian Motion with Application to Functional Equations

M. Mania, R. Tevzadze

We describe the classes of functions $f = (f (x), x \in R)$ , for which processes $f (W_{t}) - E f (W_{t})$ and $f (W_{t}) / E f (W_{t})$ are martingales. We apply these results to give a martingale char…