{"title":"跳跃扩散中均值方差对冲的界","authors":"A. Deshpande","doi":"10.4064/am2462-6-2023","DOIUrl":null,"url":null,"abstract":"We compare the maximum principle and the linear quadratic regulator approach (LQR)/well-posedness criterion to mean variance hedging (MVH) when the wealth process follows a jump diffusion. The comparison is made possible via a measurability assumption on","PeriodicalId":52313,"journal":{"name":"Applicationes Mathematicae","volume":"64 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Bounds on mean variance hedging in jump diffusion\",\"authors\":\"A. Deshpande\",\"doi\":\"10.4064/am2462-6-2023\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We compare the maximum principle and the linear quadratic regulator approach (LQR)/well-posedness criterion to mean variance hedging (MVH) when the wealth process follows a jump diffusion. The comparison is made possible via a measurability assumption on\",\"PeriodicalId\":52313,\"journal\":{\"name\":\"Applicationes Mathematicae\",\"volume\":\"64 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Applicationes Mathematicae\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.4064/am2462-6-2023\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Mathematics\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applicationes Mathematicae","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4064/am2462-6-2023","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Mathematics","Score":null,"Total":0}
We compare the maximum principle and the linear quadratic regulator approach (LQR)/well-posedness criterion to mean variance hedging (MVH) when the wealth process follows a jump diffusion. The comparison is made possible via a measurability assumption on
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