The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims

DOI10.1016/j.spa.2014.10.017zbMath1325.60088OpenAlexW2016357195MaRDI QIDQ2258827

Stéphane Goutte, Armand Ngoupeyou

Publication date: 27 February 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2014.10.017

zbMATH Keywords

backward stochastic differential equationsstochastic control problemmean-variance hedgingdynamic programming principledefaultable claimvariance optimal martingale measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Credit risk (91G40)

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Continuous-time mean-variance portfolio selection with random horizon in an incomplete market, Bounds on mean variance hedging in jump diffusion, Optimization problem under change of regime of interest rate

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