scientific article; zbMATH DE number 1409878

MaRDI QIDQ4940293zbMATH OpenFDO

Authors Ya. A. Oltsik, Yuliya S. Mishura

Publication date 2 March 2000

zbMATH Keywords

martingaleoptimal stopping timehedging strategybackward differential equationwealth process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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(5)

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• Wealth optimization in an incomplete market driven by a jump-diffusion process
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• Optimal stopping for factorable process in application to financial problems
• Optimal stopping times for solutions of nonlinear stochastic differential equations and their applications to a problem of financial mathematics

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