Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Amp[e-grave]re PDE

Srdjan Stojanovic. Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Amp[e-grave]re PDE. SIAM J. Control and Optimization, 43(4):1151-1173, 2004. [doi]

Abstract

Abstract is missing.