**M. Mania, M. Santacroce, R. Tevzadze**

## The Bellman Equation
Related to the Minimal Entropy Martingale Measure

**Abstract:**

We derive a backward stochastic differential equation and a Bellman equation
characterizing the minimal entropy martingale measure for market models, where
asset prices are driven by Markov diffusion processes. A relation between these
equations is established.

**Keywords:**

Minimal entropy martingale measure, backward stochastic differential equation,
Bellman equation, incomplete market, stochastic volatility model.

**MSC 2000:** 91B28, 60H30, 90C39.