რევაზ თევზაძე

• თამაშთა თეორია და მათი გამოყენებანი
• სასრული მათემატიკა II

1.Robust utility maximization for a diffusion market model with misspecified coefficients, (with Toronjadze and T. Uzunashvili ) Finance and Stochasics, 17, 3, (2013), 535–563.

2. * Robust mean-variance hedging and pricing of contingent claims in a one period model, International Journal of Theoretical and Applied Finance, 15, 3,(2012), 9p.

3. * Robust mean-variance hedging in the single period model, Reports of the seminar of I. Vekua Institute of Applied Mathematics, v. 25. (2012), 4p.

4. * Robust Mean-Variance Hedging In The Two Period Model, (with T. Uzunashvili), Reports of the seminar of I. Vekua Institute of Applied Mathematics, v.24., (2010),126-129.

5. * Handbook of Quantitative Finance and Risk Management , Springer, (2010), (with M. Mania and M. Santacroce) , Book chapter 104, pp. 1555-1566.

6. * Backward stochastic PDEs related to the utility maximization problem, (with M. Mania), Georgian Mathematical Journal, Vol. 17, N 4, (2010), pp. 705- 741.

7. * Stochastic Control, Sciyo, 2010. (with M. Mania and T. Toronjadze), Book chapter pp. 581-608.

8. * L2-approximating pricing under restricted information. (with M. Mania and T. Toronjadze) Applied Mathematics and Optimization Vol. 60, 1, (2009), 39-70.

9. * L2-hedging Under Partial Observations. (with M. Mania) Reports of Enlarged Session of the Seminar of I.Vekua Institute of Applied Mathematics, vol. 23 (2008), pp.108-112.

10. * Mean-variance hedging with partial information (with M. Mania and T, Toronjadze), SIAM journal on Control and Optimization, vol. 47, № 5, (2008) , pp. 2381-2409.

11. * Solvability of Backward Stochastic Differential Equation with Quadratic Growth, Stochastic Processes and their Applications, vol. 118, №3, (2008), 503-515.

12. * Quantum Computation with Scattering Matrices, Современная Математика и ее Приложения (Contemporary Mathematics and Its Applications), vol. 44, (2007), 152-162. (with G. Giorgadze). Translated in Journal of Mathematical Sciences.
13. * An exponential martingale equation, Electronic Communications in Probability 11, (2006), 206–216 (with M. Mania).
14. * Scattering Matrices as the Gates for Quantum Computer, Bull. Georg. Acad. Sci. (2006), 173, №1, 7-10,(with G. Giorgadze).
15. A martingale equation of exponential type, From Stochastic Calculus to Mathematical Finance, The Shiryaev Festschrift, Springer-Verlag, (2005), 507-516. (with M. Mania).
16. A BSDE and the Bellman equation related to the minimal entropy martingale measure, Georgian Math. Journal, vol 11, No 1,(2004) 125-135. (with M. Mania and M. Santacroce).
The task of optimal displament, Proceesings of the Inst. of Cybernetics, vol. 3, N 1-2, (2004), 181-184. (with Gd.G. Letzava, T. Sulaberidze).
18. An exponential martingale equation, (2003),DEMPh,. (with M. Mania). http://www.rmi.acnet.ge/DEMPh/demph2003
19. Backward Stochastic PDE and Imperfect Hedging, International Journal of Theoretical and Applied Finance, vol.6, 7,(2003),663-692. (with M. Mania).
20. A stochastic equation for the distribution law of diffusion type processes, Random Operator and Stochastic Equation, vol.11, 1, (2003), 77-82.
21. Semimartingale Backward PDE and Imperfect Hedging, Kolmogorov and contemporary mathematics, Abstracts, Moscow, June 16-21, (2003), 91-92. (with M. Mania).
22. A Semimartingale Backward Equation and the Variance optimal martingale measure under general information flow, SIAM Journal on Control and Optimization, Vol. 42, N5, (2003), 1703-1726. (with M. Mania).
23. A Semimartingale BSDE related to the minimal entropy martingale measure, Finance and Stochastics, vol.7, No 3, (2003), 385-402. (with M. Mania and M. Santacroce).
24. A unified characterization of q-optimal and minimal entropy martingale measures by Semimartingale Backward Equations, (with M. Mania), Georgian Mathematical Journal, Vol. 10 (2003),N2, 289-310,.
25. One problem of Parametric estimation related to the principle of work of level sensor for apparatus of cutting, Proceesings of the Inst. of Cybernetics, vol. 2, N 1-2, (2002), 114-115. (with Gd.G. Lezhava, G.G. Lezhava, G. Machavariani).
26. For the subject of estimation of semantic information, Proceesings of the Inst. of Cybernetics, vol. 2, N 1-2, (2002), 113-114. (with Gd.G. Letzava).
27. Математическая модель сыревого слоя чайного листа и оптимизация сбора, Georgian Eng. News (2002), 2, 62-64. (with I.X. Kamkamidze , Gd.G. Letzava, G.G. Letzava, E.M. Mkrtchjan , T.G. Sulaberidze)
28. Backward Stochastic PDE and Hedging in Incomplete Markets, Proceeding of Mathematical Inst., vol.13, (2002), 39-72. (with M. Mania).
29. A Semimartingale Bellman Equation and the Variance-Optimal Martingale Measure. Correction, Georgian Math. Journal, 2002, VOL 9; part 1, (2002), p. 197. (with Mania)
A Semimartingale Bellman Equation for the mean-variance hedging problem, Reports on enlarged sessions of the seminar of I.Vekua Inst. of Applied Mathematics,vol. 17, 1, (2002), 21-24. (with M. Mania).
31. A Semimartingale backward equation related to the p-optimal martingale measure and the minimal price of contingent claims, Stoch. Processes and Related Topics, Stochastics Monogr., 12 ,Taylor\&Francis. (2002), 169-202. (with M. Mania and M. Santacroce).
32. A Semimartingale Backward Equation and the Variance-optimal Martingale Measure, Abstracts of lll congress of Georgian Mathematics, 11-13 October,(2001), p.68. (with M. Mania).
33. An equation for the distribution of diffusion type processes, Abstracts of lll congress of Georgian Mathematics, 11-13 October, (2001), p.51.
34. On Bellman's equation for controlled diffusion processes , Abstracts of 12-th Winter School on Stochastic Processes, Jena, (2000), 4-5. (with M. Mania).
35. A Semimartingale Bellman equation and the variance-optimal martingale measure, Georgian Math. J. vol. 7, No 4 (2000), 765--792. (with M. Mania).
36. Mixed problem for the Bellman equation with measurable coefficients. Mem. Differ. Equ. Math. Phys. 19, (2000), 142-149.
37. Semimartingale functions of a class of diffusion processes. (Russian, English) Theory Probab. Appl. 45, No.2, 337-343 (2002); translation from Теория Вероятн. Прим. 45, No.2, (2000),374-380. (with M. Mania).
38. Markov dilation of Diffusion Type Processes and its Applications to the Financial Mathematics, Georgian Math. Journal, vol.6, No 4, (1999), 363-378.
39. The solvability of Isaacs's equation with the measurable coefficients, Reports on enlarged sessions of the seminar of I.Vekua Inst. of Applied Mathematics, vol. 14, 1, (1999) 62-66.
40. The solution of Bellman's equation by means of a system of nonlinear singular integral equations, (with M. Mania).Mem. Differ. Equ. Math. Phys. 13, (1998), 121-129,
41. Solution of Bellman's equation by a system of nonlinear singular integral equations, (with M. Mania).Abstracts of Differential Equation and Mathematical Physics, Tbilisi, (1997), p.82.
42. Optimal problems for controlled processes of diffusion type with infinite dimensional restrictions. (Russian.) Сообшения Академии Наук ГССР 149, No.1, 16-19 (1994). Bulleten of AN GSSR, 1, (1994).
43. A necessary condition of optimality in a weak sense for generalized optimization problem for diffusion system, (Russian), Teor. Kibern. 4, (1991), 98-103.
44. On an optimization problem with a random perturbation., (Russian),Teor. Kibern. 3, (1986), 126-129.
45. About adjoint system of maximum principle for controlled diffusion processes, Тезисы докладов 19 школы-коллоквиума по теории вероятностей и мат. статистике, (Russian), Tbilisi, 1985. p.50.
46. The Maximum Principle for Control System and Theorem of Existence, Тезисы докладов 19 школы-коллоквиума по теории вероятностей и мат. статистике, (Russian), Tbilisi, 1984. p.47.
47. The maximum principle for controlled diffusion system with generalized control, Тезисы докладов международной конференции по стохастической оптимизации, Kiev, 1984. 105-106
48. Some necessary condition for optimality of stochastic control systems. (Russian.) Сообшения Академии Наук ГССР 114, 29-32 (1984), Bulleten of AN GSSR 1, (1984).
49. The maximum principle for stochastic system with generalized control, Тезисы докладов 10 Республиканской научно-методической конференции ВУЗ-ов ГССР, Телави, 1983. s.30 (Russian).
50. A necessary condition for optimality of stochastic control systems. (Russian.) Сообшения Академии Наук ГССР 109, 21-23 (1983), Bulleten of AN GSSR, 1, (1983).