Backward Stochastic PDE and Imperfect Hedging

DOI10.1142/S0219024903002122zbMath1094.91029MaRDI QIDQ4812330

Michael Mania, Revaz Tevzadze

Publication date: 7 September 2004

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

mean-variance hedgingwealth processforward SSE

Mathematics Subject Classification ID

Related Items (17)

On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions ⋮ Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone ⋮ On the structure of general mean-variance hedging strategies ⋮ BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs ⋮ Asymptotic expansion for forward-backward SDEs with jumps ⋮ Mean-variance hedging via stochastic control and BSDEs for general semimartingales ⋮ An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix ⋮ Cone-constrained continuous-time Markowitz problems ⋮ Solvability of backward stochastic differential equations with quadratic growth ⋮ Backward stochastic partial differential equations with quadratic growth ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION ⋮ Optimal hedging for fund and insurance managers with partially observable investment flows ⋮ Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem ⋮ Making mean-variance hedging implementable in a partially observable market ⋮ A polynomial scheme of asymptotic expansion for backward SDEs and option pricing ⋮ A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

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• On Quadratic Cost Criteria for Option Hedging

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