Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump - Kharroubi, Idris; Lim, Thomas; Ngoupeyou, Armand (Applied mathematics & optimization, 2013)
Keywords: Algebra; Applied mathematics; Brownian motion; Calculus of Variations and Optimal Control; Optimization; CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; Control; Control systems; Decomposition; DIFFERENTIAL EQUATIONS; Hedging; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematical models; MATHEMATICAL SOLUTIONS; Mathematics; Mathematics and Statistics; Numerical and Computational Physics; Probability; RANDOMNESS; Simulation; STOCHASTIC PROCESSES; Studies; Systems Theory; Theorems; Theoretical; UNCERTAINTY PRINCIPLE; Backward SDE; Progressive enlargement of filtration; Decomposition in the reference filtration; Mean-variance hedging; Random horizon; Jump processes; 60G57; random horizon; 93E20; 60H10; pro-gressive enlargement of filtration; decomposition in the reference filtration AMS subject classifications: 91B30; jump processes