Optimal locally absolutely continuous change of measure. finite set of decisions. part i
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Publication:3760415
DOI10.1080/17442508708833455zbMath0622.93077OpenAlexW2040520746MaRDI QIDQ3760415
Publication date: 1987
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508708833455
Optimal stochastic control (93E20) Probabilistic measure theory (60A10) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (5)
A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. ⋮ Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
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