Mean-variance hedging on uncertain time horizon in a market with a jump

DOI10.1007/s00245-013-9213-5zbMath1282.93231arXiv1206.3693OpenAlexW1676224855MaRDI QIDQ2441393

Idris Kharroubi, Armand Ngoupeyou, Thomas Lim

Publication date: 24 March 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.3693

zbMATH Keywords

jump processesbackward stochastic differential equation (BSDE)mean-variance hedgingprogressive enlargement of filtrationrandom horizondecomposition in the reference filtration

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)

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