Optimal replication of random vectors by ordinary integrals
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T15:10:03Z | |
| dc.date.available | 2017-01-30T15:10:03Z | |
| dc.date.created | 2012-12-10T20:00:30Z | |
| dc.date.issued | 2013 | |
| dc.identifier.citation | Dokuchaev, Nikolai. 2013. Optimal replication of random vectors by ordinary integrals. System and Control Letters. 62 (1): pp. 43-47. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/43769 | |
| dc.identifier.doi | 10.1016/j.sysconle.2012.10.013 | |
| dc.description.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. | |
| dc.publisher | Elsevier BV, North-Holland | |
| dc.subject | optimal stochastic control | |
| dc.subject | contingent claim replication | |
| dc.subject | martingale representation | |
| dc.title | Optimal replication of random vectors by ordinary integrals | |
| dc.type | Journal Article | |
| dcterms.source.volume | 62 | |
| dcterms.source.number | 1 | |
| dcterms.source.startPage | 43 | |
| dcterms.source.endPage | 47 | |
| dcterms.source.issn | 01676911 | |
| dcterms.source.title | System and Control Letters | |
| curtin.department | ||
| curtin.accessStatus | Open access |