Optimal replication of random vectors by ordinary integrals
Optimization and Control
2012-08-09 v2 Probability
Abstract
We consider a problem of replication of random vectors by ordinary integrals in the setting when a underlying random variable is generated by a Wiener process. The goal is to find an optimal adapted process such that its cumulative integral at a fixed terminal time matches this variable. The optimal process has to be minimal in an integral norm.
Cite
@article{arxiv.1208.1331,
title = {Optimal replication of random vectors by ordinary integrals},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:1208.1331},
year = {2012}
}