Mean-variance hedging and forward-backward stochastic differential filtering equations

DOI10.1155/2011/310910zbMath1229.91327OpenAlexW2081763428WikidataQ58654124 ScholiaQ58654124MaRDI QIDQ642699

Guangchen Wang, Zhen Wu

Publication date: 27 October 2011

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/310910

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

A random parameter model for continuous-time mean-variance asset-liability management ⋮ Nonzero-sum stochastic differential game between controller and stopper for jump diffusions ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ A new optimal portfolio selection model with owner-occupied housing ⋮ A nonhomogeneous mean-field linear-quadratic optimal control problem and application

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• Partial Information Linear Quadratic Control for Jump Diffusions
• Mean‐Variance Portfolio Selection under Partial Information

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