Optimal replication of random vectors by ordinary integrals
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Dokuchaev, Nikolai
Date
2013Type
Journal Article
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Dokuchaev, Nikolai. 2013. Optimal replication of random vectors by ordinary integrals. System and Control Letters. 62 (1): pp. 43-47.
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System and Control Letters
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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.
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