1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PM2008
Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets
N. Lazrieva, T. Toronjadze
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -ro…
math.PR2007★ 1 cited
Semimartingale Stochastic Approximation Procedures and Recursive Estimation
N. Lazrieva, T. Sharia, T. Toronjadze
The semimartingale stochastic approximation procedure, namely, the Robbins-Monro type SDE is introduced which naturally includes both generalized stochastic approximation algorithm…