Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting

IEEE Transactions on Automatic Control

Volumn 49, Issue 3, 2004, Pages 396-408

  Bobrovnytska, Olga ^a   Schweizer, Martin ^b  

^a TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

^b ETH ZURICH   (Switzerland)

Author keywords

Backward stochastic differential equations; Linear quadratic stochastic control; Mean variance hedging; Reverse Holder inequality; Stochastic Riccati equations; Variance optimal martingale measure

Indexed keywords

APPROXIMATION THEORY; DIFFERENTIAL EQUATIONS; FINANCE; OPTIMIZATION; PROBLEM SOLVING; RICCATI EQUATIONS; THEOREM PROVING;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; LINEAR-QUADRATIC STOCHASTIC CONTROL; MEAN-VARIANCE HEDGING; REVERSE HOLDER INEQUALITY; STOCHASTIC RICCATI EQUATIONS; VARIANCE-OPTIMAL MARTINGALE MEASURE;

STOCHASTIC CONTROL SYSTEMS;

EID: 1842587080     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/TAC.2004.824468     Document Type: Article

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