{"id":"https://openalex.org/W2049837257","doi":"https://doi.org/10.1007/s007800200090","title":"A semimartingale BSDE related to the minimal entropy martingale measure","display_name":"A semimartingale BSDE related to the minimal entropy martingale measure","publication_year":2003,"publication_date":"2003-07-01","ids":{"openalex":"https://openalex.org/W2049837257","doi":"https://doi.org/10.1007/s007800200090","mag":"2049837257"},"language":"en","primary_location":{"id":"doi:10.1007/s007800200090","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s007800200090","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5080213182","display_name":"Michael Mania","orcid":"https://orcid.org/0000-0003-1655-1395"},"institutions":[{"id":"https://openalex.org/I4210120676","display_name":"Mathematical Institute of the Slovak Academy of Sciences","ror":"https://ror.org/02fhy7464","country_code":"SK","type":"facility","lineage":["https://openalex.org/I207624831","https://openalex.org/I4210120676"]},{"id":"https://openalex.org/I4210148604","display_name":"Georgian American University","ror":"https://ror.org/04qb0r423","country_code":"GE","type":"education","lineage":["https://openalex.org/I4210148604"]}],"countries":["GE","SK"],"is_corresponding":false,"raw_author_name":"Michael Mania","raw_affiliation_strings":["A. Razmadze Mathematical Institute, Georgian Academy of Sciences, M. Aleksidze St. 1, 380093 Tbilisi, Georgia (e-mail: mania@imath-srv.rmi.acnet.ge)\n, , , , , , GE","A. Razmadze Mathematical Institute M. Aleksidze St. 1, Tbilisi, Georgia and Georgian\u2013American University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"A. Razmadze Mathematical Institute, Georgian Academy of Sciences, M. Aleksidze St. 1, 380093 Tbilisi, Georgia (e-mail: mania@imath-srv.rmi.acnet.ge)\n, , , , , , GE","institution_ids":["https://openalex.org/I4210120676"]},{"raw_affiliation_string":"A. Razmadze Mathematical Institute M. Aleksidze St. 1, Tbilisi, Georgia and Georgian\u2013American University","institution_ids":["https://openalex.org/I4210148604"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5000742051","display_name":"Marina Santacroce","orcid":"https://orcid.org/0000-0001-5596-3355"},"institutions":[{"id":"https://openalex.org/I123338534","display_name":"Universit\u00e0 degli Studi del Piemonte Orientale \u201cAmedeo Avogadro\u201d","ror":"https://ror.org/04387x656","country_code":"IT","type":"education","lineage":["https://openalex.org/I123338534"]},{"id":"https://openalex.org/I177477856","display_name":"Politecnico di Torino","ror":"https://ror.org/00bgk9508","country_code":"IT","type":"education","lineage":["https://openalex.org/I177477856"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Marina Santacroce","raw_affiliation_strings":["Dipartimento di Scienze Economiche e Metodi Quantitativi, Universit\u00e0 degli Studi del Piemonte Orientale A. Avogadro, V. Perrone 18, 28100 Novara, Italy (e-mail: marina.santacroce@eco.unipmn.it)\n, , , , , , IT","Polit\u00e9cnico di Torino"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dipartimento di Scienze Economiche e Metodi Quantitativi, Universit\u00e0 degli Studi del Piemonte Orientale A. Avogadro, V. Perrone 18, 28100 Novara, Italy (e-mail: marina.santacroce@eco.unipmn.it)\n, , , , , , IT","institution_ids":["https://openalex.org/I123338534"]},{"raw_affiliation_string":"Polit\u00e9cnico di Torino","institution_ids":["https://openalex.org/I177477856"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5025823526","display_name":"Revaz Tevzadze","orcid":"https://orcid.org/0000-0003-3810-8757"},"institutions":[{"id":"https://openalex.org/I2800265760","display_name":"Georgian National Academy of Sciences","ror":"https://ror.org/05aav2h42","country_code":"GE","type":"education","lineage":["https://openalex.org/I2800265760"]},{"id":"https://openalex.org/I4210148604","display_name":"Georgian American University","ror":"https://ror.org/04qb0r423","country_code":"GE","type":"education","lineage":["https://openalex.org/I4210148604"]}],"countries":["GE"],"is_corresponding":false,"raw_author_name":"Revaz Tevzadze","raw_affiliation_strings":["Institute of Cybernetics, Georgian Academy of Sciences, S. Euli St. 5, 380086 Tbilisi, Georgia (e-mail: reztev@yahoo.com)\n, , , , , , GE","Institute of Cybernetics, S. Euli St. 5, Tbilisi, Georgia and Georgian\u2013American University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Cybernetics, Georgian Academy of Sciences, S. Euli St. 5, 380086 Tbilisi, Georgia (e-mail: reztev@yahoo.com)\n, , , , , , GE","institution_ids":["https://openalex.org/I2800265760"]},{"raw_affiliation_string":"Institute of Cybernetics, S. Euli St. 5, Tbilisi, Georgia and Georgian\u2013American University","institution_ids":["https://openalex.org/I4210148604"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":5,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":2890,"currency":"USD","value_usd":2890},"apc_paid":null,"fwci":4.83,"has_fulltext":false,"cited_by_count":46,"citation_normalized_percentile":{"value":0.94910838,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"7","issue":"3","first_page":"385","last_page":"402"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9847000241279602,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9607999920845032,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/semimartingale","display_name":"Semimartingale","score":0.9817113280296326},{"id":"https://openalex.org/keywords/martingale-pricing","display_name":"Martingale pricing","score":0.7961828708648682},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.7886373996734619},{"id":"https://openalex.org/keywords/local-martingale","display_name":"Local martingale","score":0.7057907581329346},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7028926610946655},{"id":"https://openalex.org/keywords/martingale","display_name":"Martingale (probability theory)","score":0.6633482575416565},{"id":"https://openalex.org/keywords/doobs-martingale-inequality","display_name":"Doob's martingale inequality","score":0.5612199306488037},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4781528413295746},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.46511155366897583},{"id":"https://openalex.org/keywords/entropy","display_name":"Entropy (arrow of time)","score":0.4648045301437378},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.38863617181777954},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.20914915204048157},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.12311252951622009},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.10409453511238098},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.07149595022201538},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.0659380853176117}],"concepts":[{"id":"https://openalex.org/C39943821","wikidata":"https://www.wikidata.org/wiki/Q506346","display_name":"Semimartingale","level":2,"score":0.9817113280296326},{"id":"https://openalex.org/C76374431","wikidata":"https://www.wikidata.org/wiki/Q6777132","display_name":"Martingale pricing","level":4,"score":0.7961828708648682},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.7886373996734619},{"id":"https://openalex.org/C58435881","wikidata":"https://www.wikidata.org/wiki/Q1868500","display_name":"Local martingale","level":3,"score":0.7057907581329346},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7028926610946655},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.6633482575416565},{"id":"https://openalex.org/C185637853","wikidata":"https://www.wikidata.org/wiki/Q1242402","display_name":"Doob's martingale inequality","level":4,"score":0.5612199306488037},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4781528413295746},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.46511155366897583},{"id":"https://openalex.org/C106301342","wikidata":"https://www.wikidata.org/wiki/Q4117933","display_name":"Entropy (arrow of time)","level":2,"score":0.4648045301437378},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.38863617181777954},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.20914915204048157},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.12311252951622009},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.10409453511238098},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.07149595022201538},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0659380853176117},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s007800200090","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s007800200090","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:porto.polito.it:1405824","is_oa":false,"landing_page_url":"http://porto.polito.it/1405824/","pdf_url":null,"source":{"id":"https://openalex.org/S4306402038","display_name":"PORTO Publications Open Repository TOrino (Politecnico di Torino)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I177477856","host_organization_name":"Politecnico di Torino","host_organization_lineage":["https://openalex.org/I177477856"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"ISSN:0949-2984","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:porto.polito.it:1935824","is_oa":false,"landing_page_url":"http://porto.polito.it/1935824/","pdf_url":null,"source":{"id":"https://openalex.org/S4306402038","display_name":"PORTO Publications Open Repository TOrino (Politecnico di Torino)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I177477856","host_organization_name":"Politecnico di Torino","host_organization_lineage":["https://openalex.org/I177477856"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/bookPart"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/10","score":0.550000011920929,"display_name":"Reduced inequalities"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W69865289","https://openalex.org/W108252421","https://openalex.org/W146704566","https://openalex.org/W195238294","https://openalex.org/W1545370368","https://openalex.org/W1552064164","https://openalex.org/W1966132745","https://openalex.org/W1984328418","https://openalex.org/W1998107368","https://openalex.org/W1999013111","https://openalex.org/W2007818171","https://openalex.org/W2009905602","https://openalex.org/W2012189453","https://openalex.org/W2021434857","https://openalex.org/W2022610613","https://openalex.org/W2040520746","https://openalex.org/W2041609545","https://openalex.org/W2078895915","https://openalex.org/W2088091526","https://openalex.org/W2105832006","https://openalex.org/W2157726608","https://openalex.org/W2157883119","https://openalex.org/W2160709761","https://openalex.org/W2161007682","https://openalex.org/W2796337403","https://openalex.org/W3120164020","https://openalex.org/W3124521936"],"related_works":["https://openalex.org/W3123844941","https://openalex.org/W2335487262","https://openalex.org/W2040425860","https://openalex.org/W1537069888","https://openalex.org/W2013937202","https://openalex.org/W2049837257","https://openalex.org/W4234458571","https://openalex.org/W2050030161","https://openalex.org/W2278447906","https://openalex.org/W1480485137"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":1}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}