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An Exponential Martingale Equation
Backward stochastic dierential equation exponential martingale
2009/4/22
We prove an existence of a unique solution of an exponential martingale equation in the class of BMO martingales. The solution is used to characterize optimal martingale measures.
We prove an existence of a unique solution of an exponential martingale equation in the class of BMO martingales. The solution is used to characterize optimal martingale measures.