{"id":"https://openalex.org/W2169116761","doi":"https://doi.org/10.1109/tac.2010.2046923","title":"Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market","display_name":"Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market","publication_year":2010,"publication_date":"2010-04-05","ids":{"openalex":"https://openalex.org/W2169116761","doi":"https://doi.org/10.1109/tac.2010.2046923","mag":"2169116761"},"language":"en","primary_location":{"id":"doi:10.1109/tac.2010.2046923","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tac.2010.2046923","pdf_url":null,"source":{"id":"https://openalex.org/S184954342","display_name":"IEEE Transactions on Automatic Control","issn_l":"0018-9286","issn":["0018-9286","1558-2523","2334-3303"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Automatic Control","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5072909119","display_name":"O.L.V. Costa","orcid":"https://orcid.org/0000-0002-0875-8698"},"institutions":[{"id":"https://openalex.org/I17974374","display_name":"Universidade de S\u00e3o Paulo","ror":"https://ror.org/036rp1748","country_code":"BR","type":"education","lineage":["https://openalex.org/I17974374"]}],"countries":["BR"],"is_corresponding":true,"raw_author_name":"O L V Costa","raw_affiliation_strings":["Departamento de Engenharia de Telecomunica\u00e7\u00f5es e Controle, Escola Polit\u00e9cnica, Universidade de S\u00e1o Paulo, Sao Paulo, Brazil"],"affiliations":[{"raw_affiliation_string":"Departamento de Engenharia de Telecomunica\u00e7\u00f5es e Controle, Escola Polit\u00e9cnica, Universidade de S\u00e1o Paulo, Sao Paulo, Brazil","institution_ids":["https://openalex.org/I17974374"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5039088202","display_name":"A. C. Maiali","orcid":null},"institutions":[{"id":"https://openalex.org/I17974374","display_name":"Universidade de S\u00e3o Paulo","ror":"https://ror.org/036rp1748","country_code":"BR","type":"education","lineage":["https://openalex.org/I17974374"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"A C Maiali","raw_affiliation_strings":["Departamento de Engenharia de Telecomunica\u00e7\u00f5es e Controle, Escola Polit\u00e9cnica, Universidade de S\u00e1o Paulo, Sao Paulo, Brazil"],"affiliations":[{"raw_affiliation_string":"Departamento de Engenharia de Telecomunica\u00e7\u00f5es e Controle, Escola Polit\u00e9cnica, Universidade de S\u00e1o Paulo, Sao Paulo, Brazil","institution_ids":["https://openalex.org/I17974374"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5072579873","display_name":"Afonso de Campos Pinto","orcid":"https://orcid.org/0000-0003-0799-5381"},"institutions":[{"id":"https://openalex.org/I44202434","display_name":"Funda\u00e7\u00e3o Getulio Vargas","ror":"https://ror.org/01evzkn27","country_code":"BR","type":"education","lineage":["https://openalex.org/I44202434"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Afonso de C. Pinto","raw_affiliation_strings":["Funda\u00e7\u00e3o Getulio Vargas, EESPCEP, Sao Paulo, Brazil"],"affiliations":[{"raw_affiliation_string":"Funda\u00e7\u00e3o Getulio Vargas, EESPCEP, Sao Paulo, Brazil","institution_ids":["https://openalex.org/I44202434"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5072909119"],"corresponding_institution_ids":["https://openalex.org/I17974374"],"apc_list":null,"apc_paid":null,"fwci":0.3704,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.72759169,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"55","issue":"7","first_page":"1704","last_page":"1709"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9854000210762024,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9635999798774719,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.6941252946853638},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6434502601623535},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.6365713477134705},{"id":"https://openalex.org/keywords/stochastic-game","display_name":"Stochastic game","score":0.5886582136154175},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5772826671600342},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.5551884174346924},{"id":"https://openalex.org/keywords/state-space","display_name":"State space","score":0.5226057171821594},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.49890661239624023},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4690711200237274},{"id":"https://openalex.org/keywords/expression","display_name":"Expression (computer science)","score":0.43921712040901184},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.42847955226898193},{"id":"https://openalex.org/keywords/state-space-representation","display_name":"State-space representation","score":0.41867464780807495},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4167470335960388},{"id":"https://openalex.org/keywords/control","display_name":"Control (management)","score":0.4152834415435791},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.32811999320983887},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.27631014585494995},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.24487245082855225},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.22065949440002441},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.13146650791168213}],"concepts":[{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.6941252946853638},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6434502601623535},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.6365713477134705},{"id":"https://openalex.org/C22171661","wikidata":"https://www.wikidata.org/wiki/Q1074380","display_name":"Stochastic game","level":2,"score":0.5886582136154175},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5772826671600342},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.5551884174346924},{"id":"https://openalex.org/C72434380","wikidata":"https://www.wikidata.org/wiki/Q230930","display_name":"State space","level":2,"score":0.5226057171821594},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.49890661239624023},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4690711200237274},{"id":"https://openalex.org/C90559484","wikidata":"https://www.wikidata.org/wiki/Q778379","display_name":"Expression (computer science)","level":2,"score":0.43921712040901184},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.42847955226898193},{"id":"https://openalex.org/C52918065","wikidata":"https://www.wikidata.org/wiki/Q230945","display_name":"State-space representation","level":2,"score":0.41867464780807495},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4167470335960388},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.4152834415435791},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.32811999320983887},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.27631014585494995},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.24487245082855225},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.22065949440002441},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.13146650791168213},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/tac.2010.2046923","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tac.2010.2046923","pdf_url":null,"source":{"id":"https://openalex.org/S184954342","display_name":"IEEE Transactions on Automatic Control","issn_l":"0018-9286","issn":["0018-9286","1558-2523","2334-3303"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Automatic Control","raw_type":"journal-article"},{"id":"pmh:oai:www.producao.usp.br:BDPI/18687","is_oa":false,"landing_page_url":"http://producao.usp.br/handle/BDPI/18687","pdf_url":null,"source":{"id":"https://openalex.org/S4306401373","display_name":"Scientific Electronic Library Online (S\u00e3o Paulo Research Foundation, Latin American and Caribbean Center on Health Sciences Information, Conselho Nacional de Desenvolvimento Cient\u00edfico e Tecnol\u00f3gico)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I2982035970","host_organization_name":"Costa Rican Department of Social Security","host_organization_lineage":["https://openalex.org/I2982035970"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W1977695619","https://openalex.org/W1988916339","https://openalex.org/W2002788332","https://openalex.org/W2012698672","https://openalex.org/W2047188539","https://openalex.org/W2077791698","https://openalex.org/W2088592705","https://openalex.org/W2096332174","https://openalex.org/W2097206578","https://openalex.org/W2131500511","https://openalex.org/W2151065060","https://openalex.org/W2153316750","https://openalex.org/W2163528216","https://openalex.org/W2164154633","https://openalex.org/W2166339378","https://openalex.org/W3125366559","https://openalex.org/W4248548705"],"related_works":["https://openalex.org/W2648988829","https://openalex.org/W3192755727","https://openalex.org/W2507439616","https://openalex.org/W2352779812","https://openalex.org/W362430865","https://openalex.org/W2954755983","https://openalex.org/W2362743624","https://openalex.org/W3121278253","https://openalex.org/W2288042208","https://openalex.org/W3103044503"],"abstract_inverted_index":{"In":[0],"this":[1],"technical":[2],"note":[3],"we":[4],"consider":[5],"the":[6,20,24,57,65,74],"mean-variance":[7],"hedging":[8,25,59,67],"problem":[9],"of":[10,47,76],"a":[11,31,77,87],"jump":[12],"diffusion":[13],"continuous":[14],"state":[15],"space":[16],"financial":[17],"model":[18],"with":[19],"re-balancing":[21],"strategies":[22],"for":[23,56,64],"portfolio":[26],"taken":[27],"at":[28],"discrete":[29],"times,":[30],"situation":[32],"that":[33],"more":[34],"closely":[35],"reflects":[36],"real":[37],"market":[38],"conditions.":[39],"A":[40],"direct":[41],"expression":[42],"based":[43],"on":[44,51],"some":[45],"change":[46],"measures,":[48],"not":[49],"depending":[50],"any":[52,70],"recursions,":[53],"is":[54],"derived":[55],"optimal":[58],"strategy":[60],"as":[61,63],"well":[62],"\u201cfair":[66],"price\u201d":[68],"considering":[69],"given":[71],"payoff.":[72],"For":[73],"case":[75],"European":[78],"call":[79],"option":[80],"these":[81],"expressions":[82],"can":[83],"be":[84],"evaluated":[85],"in":[86],"closed":[88],"form.":[89]},"counts_by_year":[{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}