A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow

Michael Mania, Revaz Tevzadze. A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow. SIAM J. Control and Optimization, 42(5):1703-1726, 2003. [doi]

Abstract

Abstract is missing.