Mean-variance hedging and forward-backward stochastic differential filtering equations

DOI10.1155/2011/310910zbMath1229.91327WikidataQ58654124 ScholiaQ58654124MaRDI QIDQ642699

Guangchen Wang, Zhen Wu

Publication date: 27 October 2011

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/310910

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

49N10: Linear-quadratic optimal control problems

91G20: Derivative securities (option pricing, hedging, etc.)

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