On exponential hedging and related quadratic backward stochastic differential equations
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Publication:853844
DOI10.1007/s00245-006-0855-4zbMath1134.93050OpenAlexW2113345866MaRDI QIDQ853844
Publication date: 17 November 2006
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-006-0855-4
dynamic programmingdualityvariational methodquadratic backward stochastic differential equationexponential hedging
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45)
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