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- W2950995667 abstract "By the classical Martingale Representation Theorem, replication of random vectors can be achieved via stochastic integrals or solutions of stochastic differential equations. We introduce a new approach to replication of random vectors via adapted differentiable processes generated by a controlled ordinary differential equation. We found that the solution of this replication problem exists and is not unique. This leads to a new optimal control problem: find a replicating process that is minimal in an integral norm. We found an explicit solution of this problem. Possible applications to portfolio selection problems and to bond pricing models are suggested." @default.
- W2950995667 created "2019-06-27" @default.
- W2950995667 creator A5031418059 @default.
- W2950995667 date "2013-01-03" @default.
- W2950995667 modified "2023-09-27" @default.
- W2950995667 title "Optimal replication of random claims by ordinary integrals with applications in finance" @default.
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- W2950995667 hasPublicationYear "2013" @default.
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