Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
Publication:2956066
DOI10.1007/978-3-319-25826-3_22zbMath1354.91141arXiv1503.00939OpenAlexW1560581036MaRDI QIDQ2956066
Erik Hove Karlsen, Giulia Di Nunno
Publication date: 16 January 2017
Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.00939
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
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