Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities

DOI10.1137/S0363012903423168zbMath1101.91041OpenAlexW2088300195MaRDI QIDQ4652577

Michael Kirch, Wolfgang J. Runggaldier

Publication date: 28 February 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012903423168

zbMATH Keywords

incomplete markets incomplete information efficient hedging Bayesian approach piecewise deterministic control problems geometric Poisson process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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