scientific article; zbMATH DE number 1409878

zbMATH Open0940.60080MaRDI QIDQ4940293FDOQ4940293

Ya. A. Oltsik, Yuliya S. Mishura

Publication date: 2 March 2000

Title of this publication is not available (Why is that?)

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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)

Cited In (5)

• Wealth optimization and dual problems for jump stock dynamics with stochastic factor
• Wealth optimization in an incomplete market driven by a jump-diffusion process
• Choosing an Optimal Switching Moment on the Financial Market with Alternative Strategies (Semimartingale Approach)
• 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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