Mean-Variance Hedging When There Are Jumps
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Publication:3427516
DOI10.1137/040610933zbMath1158.60362MaRDI QIDQ3427516
Publication date: 20 March 2007
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/2829e28c50b6afeec6a895f0e227b5b464ab5dc7
backward stochastic differential equations; incomplete markets; default risk; jump diffusion; doubly stochastic Poisson process; mean-variance hedging; stochastic intensity
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
35R60: PDEs with randomness, stochastic partial differential equations
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