Optimal replication of random vectors by ordinary integrals

DOI10.1016/J.SYSCONLE.2012.10.013zbMATH Open1257.93112arXiv1208.1331OpenAlexW2046895513MaRDI QIDQ1936152FDOQ1936152

Authors: Nikolai Dokuchaev 

Publication date: 21 February 2013

Published in: Systems \& Control Letters (Search for Journal in Brave)

Abstract: We consider a problem of replication of random vectors by ordinary integrals in the setting when a underlying random variable is generated by a Wiener process. The goal is to find an optimal adapted process such that its cumulative integral at a fixed terminal time matches this variable. The optimal process has to be minimal in an integral norm.

Full work available at URL: https://arxiv.org/abs/1208.1331

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zbMATH Keywords

martingale representationoptimal stochastic controlcontingent claim replication

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cited In (3)

• Strong approximations of Brownian sheet by uniform transport processes
• Optimal replication of random claims by ordinary integrals with applications in finance
• On optimal recovery of integrals of random processes

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