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    Optimal replication of random vectors by ordinary integrals

    188405_188405.pdf (147.2Kb)
    Access Status
    Open access
    Authors
    Dokuchaev, Nikolai
    Date
    2013
    Type
    Journal Article
    
    Metadata
    Show full item record
    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
    DOI
    10.1016/j.sysconle.2012.10.013
    ISSN
    01676911
    URI
    http://hdl.handle.net/20.500.11937/43769
    Collection
    • Curtin Research Publications
    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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