On exponential hedging and related quadratic backward stochastic differential equations

DOI10.1007/S00245-006-0855-4zbMath1134.93050OpenAlexW2113345866MaRDI QIDQ853844

Jun Sekine

Publication date: 17 November 2006

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-006-0855-4

zbMATH Keywords

dynamic programmingdualityvariational methodquadratic backward stochastic differential equationexponential hedging

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45)

Related Items (10)

Solution of the HJB Equations Involved in Utility-Based Pricing ⋮ Utility maximization underg*-expectation ⋮ Forward-backward systems for expected utility maximization ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ Exponential utility maximization under partial information ⋮ 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ Utility maximization via decoupling fields ⋮ A note on FBSDE characterization of mean exit times ⋮ ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION ⋮ A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

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