Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging
暂无分享,去创建一个
[1] W. Wonham. On a Matrix Riccati Equation of Stochastic Control , 1968 .
[2] J. Bismut. Conjugate convex functions in optimal stochastic control , 1973 .
[3] R. C. Merton,et al. Optimum Consumption and Portfolio Rules in a Continuous-Time Model* , 1975 .
[4] J. Bismut. Linear Quadratic Optimal Stochastic Control with Random Coefficients , 1976 .
[5] J. Bismut,et al. Controle des systemes lineaires quadratiques : Applications de l’integrale stochastique , 1978 .
[6] L. I. Gal’chuk. Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales , 1979 .
[7] D. Sondermann. Hedging of non-redundant contingent claims , 1985 .
[8] Alan G. White,et al. The Pricing of Options on Assets with Stochastic Volatilities , 1987 .
[9] Rodrigo Bañuelos,et al. Paraproducts and commutators of martingale transforms , 1988 .
[10] S. Peng. A general stochastic maximum principle for optimal control problems , 1990 .
[11] S. Peng,et al. Adapted solution of a backward stochastic differential equation , 1990 .
[12] E. Stein,et al. Stock Price Distributions with Stochastic Volatility: An Analytic Approach , 1991 .
[13] H. Föllmer,et al. Hedging of contingent claims under incomplete in-formation , 1991 .
[14] Shige Peng,et al. Probabilistic interpretation for systems of quasilinear parabolic partial differential equations , 1991 .
[15] D. Duffie,et al. Mean-variance hedging in continuous time , 1991 .
[16] S. Peng. A Generalized dynamic programming principle and hamilton-jacobi-bellman equation , 1992 .
[17] S. Peng,et al. Backward stochastic differential equations and quasilinear parabolic partial differential equations , 1992 .
[18] M. Schweizer. Mean-Variance Hedging for General Claims , 1992 .
[19] Shige Peng,et al. Stochastic Hamilton-Jacobi-Bellman equations , 1992 .
[20] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[21] Xunjing Li,et al. Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps , 1994 .
[22] Martin Schweizer,et al. Approximating random variables by stochastic integrals , 1994 .
[23] C. Stricker,et al. Follmer-Schweizer Decomposition and Mean-Variance Hedging for General Claims , 1995 .
[24] Walter Schachermayer,et al. Attainable claims with p'th moments , 1996 .
[25] M. Schweizer. Approximation pricing and the variance-optimal martingale measure , 1996 .
[26] M. Kobylanski,et al. Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique , 1997 .
[27] J. Lepeltier,et al. Backward stochastic differential equations with continuous coefficient , 1997 .
[28] Walter Schachermayer,et al. Weighted norm inequalities and hedging in incomplete markets , 1997, Finance Stochastics.
[29] H. Pham,et al. Mean‐Variance Hedging and Numéraire , 1998 .
[30] Huyên Pham,et al. Mean-variance hedging for continuous processes: New proofs and examples , 1998, Finance Stochastics.
[31] Shige Peng,et al. Open Problems on Backward Stochastic Differential Equations , 1998, Control of Distributed Parameter and Stochastic Systems.
[32] J. Lepeltier,et al. Existence for BSDE with superlinear–quadratic coefficient , 1998 .
[33] Huyên Pham,et al. Dynamic programming and mean-variance hedging , 1999, Finance Stochastics.
[34] É. Pardoux,et al. Forward-backward stochastic differential equations and quasilinear parabolic PDEs , 1999 .
[35] Xun Yu Zhou,et al. Control of Distributed Parameter and Stochastic Systems , 1999, IFIP Advances in Information and Communication Technology.
[36] X. Zhou,et al. Stochastic Controls: Hamiltonian Systems and HJB Equations , 1999 .
[37] Michael Kohlmann,et al. Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions , 2000 .
[38] Xun Yu Zhou,et al. Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach , 2000, SIAM J. Control. Optim..
[39] Xun Yu Zhou,et al. Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II , 2000, SIAM J. Control. Optim..
[40] Hans Föllmer,et al. Efficient hedging: Cost versus shortfall risk , 2000, Finance Stochastics.
[41] J. Yong,et al. Stochastic Linear Quadratic Optimal Control Problems , 2001 .
[42] David Yao,et al. Solvability of a stochastic linear quadratic optimal control problem , 2002 .