Optimal replication of random vectors by ordinary integrals

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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

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