Mean-variance hedging and stochastic control
Beyond the Brownian setting
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Author / Producer
Date
2004-03
Publication Type
Journal Article
ETH Bibliography
yes
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Rights / License
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Publication status
published
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Book title
Journal / series
Volume
49 (3)
Pages / Article No.
396 - 408
Publisher
IEEE
Event
Edition / version
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Software
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Date created
Subject
Backward stochastic differential equations; Linear-quadratic stochastic control; Mean-variance hedging; Reverse Holder inequality; Stochastic Riccati equations; Variance-optimal martingale measure
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin
Notes
Received 15 October 2002, Revised 15 October 2003.