Optimal replication of random claims by ordinary integrals with applications in finance

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Optimal replication of random claims by ordinary integrals with applications in finance

By the classical Martingale Representation Theorem, replication of random vectors can be achieved via stochastic integrals or solutions of stochastic differential equations. We introduce a new approach to replication of random vectors via adapted differentiable processes generated by a controlled or...

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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Other Authors:	n/a
Format:	Conference Paper
Published:	Society for Industrial and Applied Mathematics 2013
Subjects:	portfolio selection optimal stochastic control contingent claim replication
Online Access:	http://hdl.handle.net/20.500.11937/32673

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