{"@context":{"@vocab":"https://cir.nii.ac.jp/schema/1.0/","rdfs":"http://www.w3.org/2000/01/rdf-schema#","dc":"http://purl.org/dc/elements/1.1/","dcterms":"http://purl.org/dc/terms/","foaf":"http://xmlns.com/foaf/0.1/","prism":"http://prismstandard.org/namespaces/basic/2.0/","cinii":"http://ci.nii.ac.jp/ns/1.0/","datacite":"https://schema.datacite.org/meta/kernel-4/","ndl":"http://ndl.go.jp/dcndl/terms/","jpcoar":"https://github.com/JPCOAR/schema/blob/master/2.0/"},"@id":"https://cir.nii.ac.jp/crid/1363388846358740864.json","@type":"Article","productIdentifier":[{"identifier":{"@type":"DOI","@value":"10.1142/s0219024903002122"}},{"identifier":{"@type":"URI","@value":"https://www.worldscientific.com/doi/pdf/10.1142/S0219024903002122"}}],"dc:title":[{"@value":"Backward Stochastic PDE and Imperfect Hedging"}],"description":[{"type":"abstract","notation":[{"@value":"<jats:p> We consider a problem of minimization of a hedging error, measured by a positive convex random function, in an incomplete financial market model, where the dynamics of asset prices is given by an R<jats:sup>d</jats:sup>-valued continuous semimartingale. Under some regularity assumptions we derive a backward stochastic PDE for the value function of the problem and show that the strategy is optimal if and only if the corresponding wealth process satisfies a certain forward-SDE. As an example the case of mean-variance hedging is considered. </jats:p>"}]}],"creator":[{"@id":"https://cir.nii.ac.jp/crid/1383388846358740864","@type":"Researcher","foaf:name":[{"@value":"M. Mania"}],"jpcoar:affiliationName":[{"@value":"A. Razmadze Mathematical Institute,  Georgian Academy of Sciences, 1, M. Aleksidze St., Tbilisi 0193, Georgia"}]},{"@id":"https://cir.nii.ac.jp/crid/1383388846358740865","@type":"Researcher","foaf:name":[{"@value":"R. Tevzadze"}],"jpcoar:affiliationName":[{"@value":"Institute of Cybernetics, Georgian Academy of Sciences, 5, S. Euli St., Tbilisi 0186, Georgia"}]}],"publication":{"publicationIdentifier":[{"@type":"PISSN","@value":"02190249"},{"@type":"EISSN","@value":"17936322"}],"prism:publicationName":[{"@value":"International Journal of Theoretical and Applied Finance"}],"dc:publisher":[{"@value":"World Scientific Pub Co Pte Lt"}],"prism:publicationDate":"2003-11","prism:volume":"06","prism:number":"07","prism:startingPage":"663","prism:endingPage":"692"},"reviewed":"false","url":[{"@id":"https://www.worldscientific.com/doi/pdf/10.1142/S0219024903002122"}],"createdAt":"2003-10-07","modifiedAt":"2019-08-07","relatedProduct":[{"@id":"https://cir.nii.ac.jp/crid/1360004234260611072","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Making mean-variance hedging implementable in a partially observable market"}]},{"@id":"https://cir.nii.ac.jp/crid/1360848659190751744","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Optimal hedging for fund and insurance managers with partially observable investment flows"}]}],"dataSourceIdentifier":[{"@type":"CROSSREF","@value":"10.1142/s0219024903002122"},{"@type":"CROSSREF","@value":"10.1080/14697688.2013.867453_references_DOI_OtEHmtrKlrZ0CB9y2wCMWc204sv"},{"@type":"CROSSREF","@value":"10.1080/14697688.2014.950320_references_DOI_OtEHmtrKlrZ0CB9y2wCMWc204sv"}]}