Geodesic
The Bellman equation related to the minimal entropy martingale measure.
Georgian mathematical journal, Tome 11 (2004) no. 1, pp. 125-135 Cet article a éte moissonné depuis la source European Digital Mathematics Library

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Keywords: Minimal entropy martingale measure, backward stochastic differential equation, Bellman equation, incomplete market, stochastic volatility model 
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     author = {Mania, M. and Santacroce, M. and Tevzadze, R.},
     title = {The {Bellman} equation related to the minimal entropy martingale measure.},
     journal = {Georgian mathematical journal},
     pages = {125--135},
     year = {2004},
     volume = {11},
     number = {1},
     zbl = {1163.91416},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/GMJ_2004__11_1_55559/}
}
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Mania, M.; Santacroce, M.; Tevzadze, R. The Bellman equation related to the minimal entropy martingale measure.. Georgian mathematical journal, Tome 11 (2004) no. 1, pp. 125-135. http://geodesic.mathdoc.fr/item/GMJ_2004__11_1_55559/