| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 756344 | Systems & Control Letters | 2013 | 5 Pages |
Abstract
We consider a problem of replication of random vectors by ordinary integrals in the setting when an 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.
► Optimal replication of random vectors by ordinary integrals is considered. ► Possibility of exact match is established. ► Optimal solution is suggested.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Nikolai Dokuchaev,