most citedSemimartingale Stochastic Approximation Procedures and Recursive Estimation

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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…

math.PR2007

Mean-variance Hedging Under Partial Information

M. Mania, R. Tevzadze, T. Toronjadze

We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructe…