Mean-variance hedging on uncertain time horizon in a market with a jump
From MaRDI portal
Publication:2441393
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
jump processes; backward stochastic differential equation (BSDE); mean-variance hedging; progressive enlargement of filtration; random horizon; decomposition in the reference filtration
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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