Variance-optimal martingale measures for diffusion processes with stochastic coefficients (Q1711096)
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scientific article; zbMATH DE number 7002706
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| English | Variance-optimal martingale measures for diffusion processes with stochastic coefficients |
scientific article; zbMATH DE number 7002706 |
Statements
Variance-optimal martingale measures for diffusion processes with stochastic coefficients (English)
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16 January 2019
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quadratic hedging
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mean variance portfolio
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variance-optimal martingale measure
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risk sensitive control
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0.8369073271751404
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0.83182293176651
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0.83182293176651
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0.8308095932006836
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0.8229761719703674
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