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math.PR2020
Stability of the indirect utility process
Oleksii Mostovyi
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the re…
q-fin.MF2020★ 2 cited
Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space
Sarah Boese, Tracy Cui, Samuel Johnston +2
First, we consider the problem of hedging in complete binomial models. Using the discrete-time Föllmer-Schweizer decomposition, we demonstrate the equivalence of the backward induc…