Title of article :
Optimal replication of random vectors by ordinary integrals
Author/Authors :
Dokuchaev، نويسنده , , Nikolai، نويسنده ,
Issue Information :
ماهنامه با شماره پیاپی سال 2013
Pages :
5
From page :
43
To page :
47
Abstract :
We consider a problem of replication of random vectors by ordinary integrals in the setting when an underlying random variable is generated by a Wiener process. The goal is to find an optimal adapted process such that its cumulative integral at a fixed terminal time matches this variable. The optimal process has to be minimal in an integral norm.
Keywords :
Martingale representation , Contingent claim replication , Optimal stochastic control
Journal title :
Systems and Control Letters
Serial Year :
2013
Journal title :
Systems and Control Letters
Record number :
1676432
Link To Document :
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