On exponential hedging and related quadratic backward stochastic differential equations

DOI10.1007/S00245-006-0855-4zbMATH Open1134.93050OpenAlexW2113345866MaRDI QIDQ853844FDOQ853844

Authors: Jun Sekine 

Publication date: 17 November 2006

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-006-0855-4

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zbMATH Keywords

dynamic programmingdualityvariational methodquadratic backward stochastic differential equationexponential hedging

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

Cited In (13)

• Forward-backward systems for expected utility maximization
• Exponential Hedging and Entropic Penalties
• BSDEs in utility maximization with BMO market price of risk
• Utility maximization via decoupling fields
• Three essays on exponential hedging with variable exit times
• Utility maximization under \(g^\ast\)-expectation
• A Fourier cosine method for an efficient computation of solutions to BSDEs
• Robust exponential hedging in a Brownian setting
• A note on FBSDE characterization of mean exit times
• Exponential utility maximization under partial information
• Robust exponential hedging and indifference valuation
• Title not available (Why is that?)
• Solution of the HJB equations involved in utility-based pricing

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