Mean-variance hedging via stochastic control and BSDEs for general semimartingales

DOI10.1214/11-AAP835zbMath1273.60053arXiv1211.6820OpenAlexW3123644719MaRDI QIDQ1931322

Marina Santacroce, Martin Schweizer, Michael Mania, Monique Jeanblanc-Picqué

Publication date: 25 January 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.6820

zbMATH Keywords

stochastic controlsemimartingalesbackward stochastic differential equationsmathematical financemean-variance hedgingvariance-optimal martingale measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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