Approximating random variables by stochastic integrals
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Publication:1345608
DOI10.1214/aop/1176988611zbMath0814.60041OpenAlexW2041609545MaRDI QIDQ1345608
Publication date: 13 June 1995
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176988611
option pricingstochastic integralfinancial mathematicsspecial semimartingalequadratic optimization problems
Quadratic programming (90C20) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
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