An analytical characterization for an optimal change of Gaussian measures

DOI10.1155/JAMDS/2006/95912zbMath1158.60363OpenAlexW2088146118MaRDI QIDQ955485

Henry Schellhorn

Publication date: 20 November 2008

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/129743

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Uses Software

• GAUSSIAN

Cites Work

• Mean-variance hedging in continuous time
• Approximation pricing and the variance-optimal martingale measure
• Pricing Via Utility Maximization and Entropy
• On the Existence of Minimax Martingale Measures
• Exponential Hedging and Entropic Penalties
• Wiener chaos and the Cox–Ingersoll–Ross model
• Sufficient Conditions for the Optimal Control of Nonlinear Systems

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