On exponential hedging and related quadratic backward stochastic differential equations

DOI10.1007/S00245-006-0855-4MaRDI QIDQ853844zbMATH OpenOpenAlexFDO

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

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)

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(13)

• Solution of the HJB equations involved in utility-based pricing
• 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
• scientific article; zbMATH DE number 2131684 (Why is no real title available?)

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