A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization (Q6630706)
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scientific article; zbMATH DE number 7936907
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization |
scientific article; zbMATH DE number 7936907 |
Statements
A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization (English)
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31 October 2024
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Malliavin-Skorohod calculus
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additive processes
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Clark-Ocone-Haussmann formula
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Cameron-Martin-Maruyama-Girsanov theorem
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portfolio optimization
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local risk minimization
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