scientific article; zbMATH DE number 2062291

MaRDI QIDQ4459178zbMATHFDO

Authors Shota Gugushvili

Publication date 25 March 2004

Full work available at URL https://eudml.org/doc/53042

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zbMATH Keywords

dynamic programmingoptimality principle

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• Dynamic programming and hedging strategies in discrete time
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• Dynamic programming and mean-variance hedging with partial execution risk

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