Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting

DOI10.1109/TAC.2004.824468zbMath1366.91152OpenAlexW2142934230MaRDI QIDQ5273711

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Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2004.824468

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integral equations (60H20)

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