Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
Michael Kohlmann
| Year of publication: |
2000
|
|---|---|
| Authors: | Kohlmann, Michael |
| Publisher: |
Konstanz : Univ., Center of Finance and Econometrics |
| Subject: | backward stochastic differential equation | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Hedging | Theorie | Theory |
| Description of contents: | Description [econometrics.wiwi.uni-konstanz.de] |
| Extent: | 28 S a |
|---|---|
| Series: | Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz. - Konstanz, ZDB-ID 2172014-9. - Vol. 00/13 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. 26 - 28 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001475182