Mean-Variance Hedging When There Are Jumps
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Publication:3427516
DOI10.1137/040610933zbMath1158.60362OpenAlexW2135200315MaRDI QIDQ3427516
Publication date: 20 March 2007
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/2829e28c50b6afeec6a895f0e227b5b464ab5dc7
backward stochastic differential equationsincomplete marketsdefault riskjump diffusiondoubly stochastic Poisson processmean-variance hedgingstochastic intensity
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)
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