Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
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Publication:2956066
DOI10.1007/978-3-319-25826-3_22zbMath1354.91141arXiv1503.00939MaRDI QIDQ2956066
Erik Hove Karlsen, Giulia Di Nunno
Publication date: 16 January 2017
Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.00939
hedging; model uncertainty; stochastic differential games; martingale random fields; time-change; BSDEs
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91A23: Differential games (aspects of game theory)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91A15: Stochastic games, stochastic differential games
91G10: Portfolio theory
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