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

DOI10.1007/s00245-013-9213-5zbMath1282.93231arXiv1206.3693MaRDI 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 processes; backward stochastic differential equation (BSDE); mean-variance hedging; progressive enlargement of filtration; random horizon; decomposition in the reference filtration

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E03: Stochastic systems in control theory (general)

91G10: Portfolio theory

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