Edit Profile (opens in new tab) Mania, Michael Co-Author Distance Author ID: mania.michael Published as: Mania, M.; Mania, Michael; Mania, M. G.; Mania, Mikhael; Maniya, M. G.; Manija, M. G. more...less External Links: MGP · Google Scholar · Math-Net.Ru · dblp Documents Indexed: 55 Publications since 1977, including 1 Additional arXiv Preprint Co-Authors: 12 Co-Authors with 46 Joint Publications 179 Co-Co-Authors all top 5 Co-Authors 7 single-authored 28 Tevzadze, Revaz 10 Chitashvili, Revaz Ya. 4 Santacroce, Marina 3 Lazrieva, N. L. 2 Chikvinidze, Besik 2 Kavtaradze, T. 2 Schweizer, Martin 2 Toronjadze, Teimuraz 1 Jeanblanc, Monique 1 Muliere, Pietro 1 Shervashidze, Tengiz 1 Tikanadze, Luka all top 5 Serials 7 Proceedings of A. Razmadze Mathematical Institute 6 Georgian Mathematical Journal 5 Reports of Enlarged Sessions of the Seminar of I. Vekua Institute of Applied Mathematics 2 Stochastics 2 SIAM Journal on Control and Optimization 2 Soobshcheniya Akademii Nauk Gruzinskoĭ SSR 2 The Annals of Applied Probability 2 Aequationes Mathematicae 2 Stochastic Processes and their Applications 2 Finance and Stochastics 1 Theory of Probability and its Applications 1 Applied Mathematics and Optimization 1 Statistics & Probability Letters 1 Probability Theory and Related Fields 1 Journal of Theoretical Probability 1 Stochastics and Stochastics Reports 1 Journal of Mathematical Sciences (New York) 1 Memoirs on Differential Equations and Mathematical Physics 1 Electronic Communications in Probability 1 Infinite Dimensional Analysis, Quantum Probability and Related Topics 1 International Journal of Theoretical and Applied Finance 1 Stochastics and Dynamics 1 Proceedings of I. Vekua Institute of Applied Mathematics 1 Stochastics 1 SIAM Journal on Financial Mathematics 1 Transactions of A. Razmadze Mathematical Institute all top 5 Fields 51 Probability theory and stochastic processes (60-XX) 25 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 12 Operations research, mathematical programming (90-XX) 8 Systems theory; control (93-XX) 5 Calculus of variations and optimal control; optimization (49-XX) 2 Statistics (62-XX) 2 Mathematics education (97-XX) 1 History and biography (01-XX) 1 Partial differential equations (35-XX) 1 Functional analysis (46-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 38 Publications have been cited 283 times in 187 Documents Cited by ▼ Year ▼ Dynamic exponential utility indifference valuation. Zbl 1134.91449 Mania, Michael; Schweizer, Martin 78 2005 Mean-variance hedging via stochastic control and BSDEs for general semimartingales. Zbl 1273.60053 Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; Schweizer, Martin 32 2012 Backward stochastic PDE and imperfect hedging. Zbl 1094.91029 Mania, M.; Tevzadze, R. 18 2003 Exponential utility maximization under partial information. Zbl 1226.91091 Mania, Michael; Santacroce, Marina 15 2010 A semimartingale BSDE related to the minimal entropy martingale measure. Zbl 1063.91037 Mania, Michael; Santacroce, Marina; Tevzadze, Revaz 15 2003 A unified characterization of \(q\)-optimal and minimal entropy martingale measures by semimartingale backward equations. Zbl 1040.60058 Mania, M.; Tevzadze, R. 14 2003 Backward stochastic partial differential equations related to utility maximization and hedging. Zbl 1393.60070 Mania, M.; Tevzadze, R. 12 2008 A semimartingale backward equation and the variance-optimal martingale measure under general information flow. Zbl 1125.91356 Mania, Michael; Tevzadze, Revaz 11 2003 Mean-variance hedging under partial information. Zbl 1173.91393 Mania, Michael; Tevzadze, Revaz; Toronjadze, Teimuraz 10 2008 A semimartingale Bellman equation and the variance-optimal martingale measure. Zbl 0973.91030 Mania, M.; Tevzadze, R. 9 2000 Generalized Itô formula and derivation of Bellman’s equation. Zbl 0870.60074 Chitashvili, Revaz; Mania, Mikhael 7 1996 Backward stochastic PDEs related to the utility maximization problem. Zbl 1204.91136 Mania, Michael; Tevzadze, Revaz 7 2010 Semimartingale functions of a class of diffusion processes. Zbl 0979.60067 Mania, M.; Tevzadae, R. 5 2000 Optimal locally absolutely continuous change of measure. Finite set of decisions. I. Zbl 0622.93077 Chitashvili, R. J.; Mania, M. G. 5 1987 On functions transforming a Wiener process into a semimartingale. Zbl 0882.60080 Chitashvili, R.; Mania, M. 5 1997 New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations. Zbl 1321.60084 Chikvinidze, B.; Mania, M. 4 2014 On optimal controls in the problem of locally absolutely continuous change of measure (compact sets of decisions). Zbl 0652.60051 Chitashvili, R. J.; Mania, M. G. 3 1987 Decomposition of the maximum of semimartingales and generalized Itô’s formula. Zbl 0778.60032 Chitashvili, R. J.; Mania, M. G. 3 1991 The Bellman equation related to the minimal entropy martingale measure. Zbl 1163.91416 Mania, M.; Santacroce, M.; Tevzadze, R. 3 2004 \(L^{2}\)-approximating pricing under restricted information. Zbl 1228.91078 Mania, M.; Tevzadze, R.; Toronjadze, T. 3 2009 Optimal locally absolutely continuous change of measure. Finite set of decisions. II: Optimization problems. Zbl 0639.93065 Chitashvili, R. J.; Mania, M. G. 2 1987 An exponential martingale equation. Zbl 1112.60035 Mania, Mikhael; Tevzadze, Revaz 2 2006 Characterization of a regular family of semimartingales by line integrals. Zbl 0872.60043 Chitashvili, R.; Mania, M. 2 1996 On martingale transformations of multidimensional Brownian motion. Zbl 1482.60060 Mania, M.; Tevzadze, R. 2 2021 Change of variable formulas for non-anticipative functionals. Zbl 1461.60058 Mania, Michael; Tevzadze, Revaz 2 2020 A probabilistic method of solving Lobachevsky’s functional equation. Zbl 1470.60119 Mania, Michael 2 2021 A Bayesian-martingale approach to the general disorder problem. Zbl 1121.60045 Kavtaradze, T.; Lazrieva, N.; Mania, M.; Muliere, P. 1 2007 On functions transforming Brownian motion into a Dirichlet process. Zbl 0968.60074 Chitashvili, R.; Mania, M. 1 1996 Derivation of a generalized Black-Scholes equation. Zbl 0912.60064 Mania, M. 1 1997 Stochastic line integrals with respect to local martingales and semimartingales. Zbl 0953.60041 Chitashvili, R.; Mania, M. 1 1999 A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. Zbl 1046.60041 Mania, M. 1 2000 A martingale equation of exponential type. Zbl 1101.60049 Mania, Michael; Tevzadze, Revaz 1 2006 A semimartingale Bellman equation for the mean-variance hedging problem. Zbl 1104.91039 Mania, M.; Tevzadze, R. 1 2002 Semimartingale characterization of generalized derivatives. Zbl 0886.60036 Mania, M. 1 1997 On the properties of dynamic value functions in the problem of optimal investment in incomplete markets. Zbl 1307.91166 Mania, Michael; Tevzadze, Revaz 1 2015 On regularity of primal and dual dynamic value functions related to investment problems and their representations as backward stochastic PDE solutions. Zbl 1422.91662 Mania, Michael; Tevzadze, Revaz 1 2017 Backward stochastic PDE and hedging in incomplete markets. Zbl 1159.91394 Mania, M.; Tevzadze, R. 1 2002 On martingale transformations of the linear Brownian motion. Zbl 1513.60047 Mania, Michael; Tevzadze, Revaz 1 2020 On martingale transformations of multidimensional Brownian motion. Zbl 1482.60060 Mania, M.; Tevzadze, R. 2 2021 A probabilistic method of solving Lobachevsky’s functional equation. Zbl 1470.60119 Mania, Michael 2 2021 Change of variable formulas for non-anticipative functionals. Zbl 1461.60058 Mania, Michael; Tevzadze, Revaz 2 2020 On martingale transformations of the linear Brownian motion. Zbl 1513.60047 Mania, Michael; Tevzadze, Revaz 1 2020 On regularity of primal and dual dynamic value functions related to investment problems and their representations as backward stochastic PDE solutions. Zbl 1422.91662 Mania, Michael; Tevzadze, Revaz 1 2017 On the properties of dynamic value functions in the problem of optimal investment in incomplete markets. Zbl 1307.91166 Mania, Michael; Tevzadze, Revaz 1 2015 New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations. Zbl 1321.60084 Chikvinidze, B.; Mania, M. 4 2014 Mean-variance hedging via stochastic control and BSDEs for general semimartingales. Zbl 1273.60053 Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; Schweizer, Martin 32 2012 Exponential utility maximization under partial information. Zbl 1226.91091 Mania, Michael; Santacroce, Marina 15 2010 Backward stochastic PDEs related to the utility maximization problem. Zbl 1204.91136 Mania, Michael; Tevzadze, Revaz 7 2010 \(L^{2}\)-approximating pricing under restricted information. Zbl 1228.91078 Mania, M.; Tevzadze, R.; Toronjadze, T. 3 2009 Backward stochastic partial differential equations related to utility maximization and hedging. Zbl 1393.60070 Mania, M.; Tevzadze, R. 12 2008 Mean-variance hedging under partial information. Zbl 1173.91393 Mania, Michael; Tevzadze, Revaz; Toronjadze, Teimuraz 10 2008 A Bayesian-martingale approach to the general disorder problem. Zbl 1121.60045 Kavtaradze, T.; Lazrieva, N.; Mania, M.; Muliere, P. 1 2007 An exponential martingale equation. Zbl 1112.60035 Mania, Mikhael; Tevzadze, Revaz 2 2006 A martingale equation of exponential type. Zbl 1101.60049 Mania, Michael; Tevzadze, Revaz 1 2006 Dynamic exponential utility indifference valuation. Zbl 1134.91449 Mania, Michael; Schweizer, Martin 78 2005 The Bellman equation related to the minimal entropy martingale measure. Zbl 1163.91416 Mania, M.; Santacroce, M.; Tevzadze, R. 3 2004 Backward stochastic PDE and imperfect hedging. Zbl 1094.91029 Mania, M.; Tevzadze, R. 18 2003 A semimartingale BSDE related to the minimal entropy martingale measure. Zbl 1063.91037 Mania, Michael; Santacroce, Marina; Tevzadze, Revaz 15 2003 A unified characterization of \(q\)-optimal and minimal entropy martingale measures by semimartingale backward equations. Zbl 1040.60058 Mania, M.; Tevzadze, R. 14 2003 A semimartingale backward equation and the variance-optimal martingale measure under general information flow. Zbl 1125.91356 Mania, Michael; Tevzadze, Revaz 11 2003 A semimartingale Bellman equation for the mean-variance hedging problem. Zbl 1104.91039 Mania, M.; Tevzadze, R. 1 2002 Backward stochastic PDE and hedging in incomplete markets. Zbl 1159.91394 Mania, M.; Tevzadze, R. 1 2002 A semimartingale Bellman equation and the variance-optimal martingale measure. Zbl 0973.91030 Mania, M.; Tevzadze, R. 9 2000 Semimartingale functions of a class of diffusion processes. Zbl 0979.60067 Mania, M.; Tevzadae, R. 5 2000 A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. Zbl 1046.60041 Mania, M. 1 2000 Stochastic line integrals with respect to local martingales and semimartingales. Zbl 0953.60041 Chitashvili, R.; Mania, M. 1 1999 On functions transforming a Wiener process into a semimartingale. Zbl 0882.60080 Chitashvili, R.; Mania, M. 5 1997 Derivation of a generalized Black-Scholes equation. Zbl 0912.60064 Mania, M. 1 1997 Semimartingale characterization of generalized derivatives. Zbl 0886.60036 Mania, M. 1 1997 Generalized Itô formula and derivation of Bellman’s equation. Zbl 0870.60074 Chitashvili, Revaz; Mania, Mikhael 7 1996 Characterization of a regular family of semimartingales by line integrals. Zbl 0872.60043 Chitashvili, R.; Mania, M. 2 1996 On functions transforming Brownian motion into a Dirichlet process. Zbl 0968.60074 Chitashvili, R.; Mania, M. 1 1996 Decomposition of the maximum of semimartingales and generalized Itô’s formula. Zbl 0778.60032 Chitashvili, R. J.; Mania, M. G. 3 1991 Optimal locally absolutely continuous change of measure. Finite set of decisions. I. Zbl 0622.93077 Chitashvili, R. J.; Mania, M. G. 5 1987 On optimal controls in the problem of locally absolutely continuous change of measure (compact sets of decisions). Zbl 0652.60051 Chitashvili, R. J.; Mania, M. G. 3 1987 Optimal locally absolutely continuous change of measure. Finite set of decisions. II: Optimization problems. Zbl 0639.93065 Chitashvili, R. J.; Mania, M. G. 2 1987 all cited Publications top 5 cited Publications all top 5 Cited by 229 Authors 15 Mania, Michael 9 Tevzadze, Revaz 7 Kohlmann, Michael 7 Santacroce, Marina 7 Xiong, Dewen 5 Ceci, Claudia 5 Kallsen, Jan 5 Schweizer, Martin 5 Žitković, Gordan 4 Frei, Christoph 4 Fujii, Masaaki 4 Liang, Gechun 4 Richou, Adrien 4 Zariphopoulou, Thaleia 3 Di Nunno, Giulia 3 Dolinsky, Yan 3 Gerardi, Anna 3 Hu, Ying 3 Khedher, Asma 3 Malamud, Semyon 3 Morlais, Marie-Amelie 3 Muhle-Karbe, Johannes 3 Ngoupeyou, Armand 3 Nutz, Marcel 3 Peng, Xingchun 3 Takahashi, Akihiko 3 Tardelli, Paola 3 Touzi, Nizar 3 Vanmaele, Michèle 3 Wong, Hoi Ying 3 Xing, Hao 2 Anthropelos, Michail 2 Becherer, Dirk 2 Benth, Fred Espen 2 Černý, Aleš 2 Chen, Fenge 2 Cheridito, Patrick 2 Chitashvili, Revaz Ya. 2 Choulli, Tahir 2 Covello, D. 2 El Karoui, Nicole 2 Goutte, Stéphane 2 Horst, Ulrich 2 Imkeller, Peter 2 Källblad, Sigrid 2 Kentia, Klebert 2 Kromer, Eduard 2 Kuhn, Christoph 2 Laeven, Roger J. A. 2 Mocha, Markus 2 Nam, Kihun 2 Overbeck, Ludger 2 Possamaï, Dylan 2 Qiu, Jinniao 2 Réveillac, Anthony 2 Robertson, Scott 2 Russo, Francesco 2 Stadje, Mitja 2 Toronjadze, Teimuraz 2 Trivellato, Barbara 2 Westray, Nicholas 2 Yao, Song 2 Zhou, Qing 1 Aichinger, Florian 1 Aihara, Shin’ichi 1 Aliev, A. F. 1 Arai, Takuji 1 Bagchi, Arunabha 1 Balter, Anne G. 1 Bandini, Elena 1 Bank, Peter 1 Barrieu, Pauline M. 1 Bartl, Daniel 1 Beißner, Patrick 1 Brachetta, Matteo 1 Büttner, Martin 1 Chassagneux, Jean-François 1 Chen, Bingzheng 1 Chen, Shaokuan 1 Chen, Ze 1 Chiu, Henry 1 Chiu, Mei Choi 1 Chong, Wing Fung 1 Choukroun, Sébastien 1 Colaneri, Katia 1 Cont, Rama 1 Cretarola, Alessandra 1 Czichowsky, Christoph 1 Dai, Min 1 Dai, Wanyang 1 Delbaen, Freddy 1 Delong, Łukasz 1 Deng, Jun 1 Desmettre, Sascha 1 Detemple, Jerome B. 1 Dhaene, Jan 1 Dong, Juan 1 Du, Kai 1 Egorov, Sergei 1 Ellanskaya, Anastasia ...and 129 more Authors all top 5 Cited in 55 Serials 17 Stochastic Processes and their Applications 13 Mathematical Finance 10 Stochastic Analysis and Applications 10 Stochastics 9 The Annals of Applied Probability 9 International Journal of Theoretical and Applied Finance 9 SIAM Journal on Financial Mathematics 7 Applied Mathematical Finance 7 Finance and Stochastics 7 Quantitative Finance 6 Applied Mathematics and Optimization 5 Mathematics and Financial Economics 4 Journal of Applied Probability 4 Insurance Mathematics & Economics 4 Electronic Journal of Probability 3 Journal of Mathematical Analysis and Applications 3 The Annals of Probability 3 Journal of Computational and Applied Mathematics 3 SIAM Journal on Control and Optimization 3 Probability, Uncertainty and Quantitative Risk 2 Advances in Applied Probability 2 Stochastics 2 Theory of Probability and its Applications 2 Statistics & Probability Letters 2 Probability Theory and Related Fields 2 Journal of Theoretical Probability 2 Aequationes Mathematicae 2 Journal of Mathematical Sciences (New York) 2 Probability in the Engineering and Informational Sciences 2 Decisions in Economics and Finance 2 Annals of Finance 1 Mathematics of Operations Research 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Optimization 1 Journal of Economic Dynamics & Control 1 Journal of Applied Mathematics and Stochastic Analysis 1 European Journal of Operational Research 1 SIAM Journal on Scientific Computing 1 Theory of Probability and Mathematical Statistics 1 Applicationes Mathematicae 1 Bernoulli 1 Discrete and Continuous Dynamical Systems 1 Mathematical Problems in Engineering 1 Doklady Mathematics 1 Abstract and Applied Analysis 1 Mathematical Methods of Operations Research 1 Scandinavian Actuarial Journal 1 Journal of Systems Science and Complexity 1 Journal of Industrial and Management Optimization 1 Proceedings of the Steklov Institute of Mathematics 1 Science China. Mathematics 1 European Actuarial Journal 1 JSIAM Letters 1 Transactions of the London Mathematical Society 1 Transactions of A. Razmadze Mathematical Institute all top 5 Cited in 17 Fields 147 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 146 Probability theory and stochastic processes (60-XX) 47 Systems theory; control (93-XX) 20 Calculus of variations and optimal control; optimization (49-XX) 9 Partial differential equations (35-XX) 7 Numerical analysis (65-XX) 7 Operations research, mathematical programming (90-XX) 6 Statistics (62-XX) 3 Difference and functional equations (39-XX) 2 Ordinary differential equations (34-XX) 2 Approximations and expansions (41-XX) 2 Integral equations (45-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Real functions (26-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Mathematics education (97-XX) Citations by Year