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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| Format: | Journal Article |
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Elsevier BV, North-Holland
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/43769 |
| _version_ | 1848756802509864960 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:17:59Z |
| format | Journal Article |
| id | curtin-20.500.11937-43769 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:17:59Z |
| publishDate | 2013 |
| publisher | Elsevier BV, North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-437692017-09-13T15:56:52Z Optimal replication of random vectors by ordinary integrals Dokuchaev, Nikolai optimal stochastic control contingent claim replication martingale representation 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. 2013 Journal Article http://hdl.handle.net/20.500.11937/43769 10.1016/j.sysconle.2012.10.013 Elsevier BV, North-Holland fulltext |
| spellingShingle | optimal stochastic control contingent claim replication martingale representation Dokuchaev, Nikolai Optimal replication of random vectors by ordinary integrals |
| title | Optimal replication of random vectors by ordinary integrals |
| title_full | Optimal replication of random vectors by ordinary integrals |
| title_fullStr | Optimal replication of random vectors by ordinary integrals |
| title_full_unstemmed | Optimal replication of random vectors by ordinary integrals |
| title_short | Optimal replication of random vectors by ordinary integrals |
| title_sort | optimal replication of random vectors by ordinary integrals |
| topic | optimal stochastic control contingent claim replication martingale representation |
| url | http://hdl.handle.net/20.500.11937/43769 |