Optimal replication of random vectors by ordinary integrals
Abstract
We consider a problem of replication of random vectors by ordinary integrals in the setting when an underlying random variable is generated by a Wiener process. The goal is to find an optimal adapted process such that its cumulative integral at a fixed terminal time matches this variable. The optimal process has to be minimal in an integral norm.
Citation
Dokuchaev, Nikolai. 2013. Optimal replication of random vectors by ordinary integrals. System and Control Letters. 62 (1): pp. 43-47.
Source Title
System and Control Letters
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