Change of filtrations and mean–variance hedging (Q5433511): Difference between revisions

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+Additional logarithmic utility of an insider
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+The Shannon information of filtrations and the additional logarithmic utility of insiders
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+Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
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+Changes of filtrations and of probability measures
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+Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
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+The variance-optimal martingale measure for continuous processes
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+Weighted norm inequalities and hedging in incomplete markets
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+Portfolio optimization and contingent claim pricing with differential information
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+Mean-Variance Hedging and Numeraire
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+Insider Trading in a Continuous Time Market Model
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+Indefinite Stochastic Riccati Equations
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+Free lunch and arbitrage possibilities in a financial market model with an insider.
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+Calcul stochastique et problèmes de martingales
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+Multidimensional Backward Stochastic Riccati Equations and Applications
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+Minimization of Risk and Linear Quadratic Optimal Control Theory
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+Dynamic programming and mean-variance hedging
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+Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
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+Anticipative portfolio optimization
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+On \(L^2\)-projections on a space of stochastic integrals
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+A super-martingale property of the optimal portfolio process
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+RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
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+On the minimal martingale measure and the möllmer-schweizer decomposition
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+Quasimartingales, martingales locales, semimartingales et filtration naturelle
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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