On exponential hedging and related quadratic backward stochastic differential equations
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Publication:853844
DOI10.1007/s00245-006-0855-4zbMath1134.93050MaRDI QIDQ853844
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
dynamic programming; duality; variational method; quadratic backward stochastic differential equation; exponential hedging
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
91G80: Financial applications of other theories
49N15: Duality theory (optimization)
49K45: Optimality conditions for problems involving randomness
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