Optimal replication of random vectors by ordinary integrals

Optimal replication of random vectors by ordinary integrals

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 optima...

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Bibliographic Details
Main Author: Dokuchaev, Nikolai
Format: Journal Article
Published: Elsevier BV, North-Holland 2013
Subjects:
optimal stochastic control
contingent claim replication
martingale representation
Online Access:http://hdl.handle.net/20.500.11937/43769

Internet

http://hdl.handle.net/20.500.11937/43769

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