Mean-variance hedging and forward-backward stochastic differential filtering equations
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Publication:642699
DOI10.1155/2011/310910zbMath1229.91327OpenAlexW2081763428WikidataQ58654124 ScholiaQ58654124MaRDI QIDQ642699
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
Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Derivative securities (option pricing, hedging, etc.) (91G20)
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