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Publication:2709768
zbMath0973.91030MaRDI QIDQ2709768
Publication date: 27 November 2001
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
dynamic programmingBellman equationincomplete marketsmean-variance hedgingbackward equationvariance-optimal martingale measure
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On the structure of general mean-variance hedging strategies ⋮ BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs ⋮ Discretisation of FBSDEs driven by càdlàg martingales ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations ⋮ Solvability of backward stochastic differential equations with quadratic growth ⋮ Optimal robust mean-variance hedging in incomplete financial markets ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ Dynamic exponential utility indifference valuation
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