The Bellman equation related to the minimal entropy martingale measure.
Mania, M. ; Santacroce, M. ; Tevzadze, R.
Georgian Mathematical Journal, Tome 11 (2004), p. 125-135 / Harvested from The Electronic Library of Mathematics
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Publié le : 2004-01-01
EUDML-ID : urn:eudml:doc:55559 
@article{02113405,
     title = {The Bellman equation related to the minimal entropy martingale measure.},
     journal = {Georgian Mathematical Journal},
     volume = {11},
     year = {2004},
     pages = {125-135},
     zbl = {1163.91416},
     language = {en},
     url = {http://dml.mathdoc.fr/item/02113405}
}

Mania, M.; Santacroce, M.; Tevzadze, R. The Bellman equation related to the minimal entropy martingale measure.. Georgian Mathematical Journal, Tome 11 (2004) pp. 125-135. http://gdmltest.u-ga.fr/item/02113405/