Characterization of the value process in robust efficient hedging
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Publication:2247915
DOI10.1007/s10957-012-0168-5zbMath1290.49048OpenAlexW2130359522MaRDI QIDQ2247915
Erick Treviño Aguilar, Daniel Hernández-Hernández
Publication date: 30 June 2014
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-012-0168-5
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Ordinary differential equations and systems with randomness (34F05) Optimality conditions for problems involving randomness (49K45)
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