Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimal replication of random claims by ordinary integrals with
  applications in finance   By the classical Martingale Representation Theorem, replication of random
vectors can be achieved via stochastic integrals or solutions of stochastic
differential equations. We introduce a new approach to replication of random
vectors via adapted differentiable processes generated by a controlled ordinary
differential equation. We found that the solution of this replication problem
exists and is not unique. This leads to a new optimal control problem: find a
replicating process that is minimal in an integral norm. We found an explicit
solution of this problem. Possible applications to portfolio selection problems
and to bond pricing models are suggested.

12
The categories of this paper are: nucl-th
35
The categories of this paper are: mtrl-th
18
The categories of this paper are: econ
32
The categories of this paper are: atom-ph
0
The categories of this paper are: hep-ph
6
The categories of this paper are: astro-ph
13
The categories of this paper are: quant-ph
27
The categories of this paper are: comp-gas
34
The categories of this paper are: chem-ph
31
The categories of this paper are: ao-sci
36
The categories of this paper are: cmp-lg
23
The categories of this paper are: solv-int
29
The categories of this paper are: funct-an
14
The categories of this paper are: math-ph
28
The categories of this paper are: alg-geom
9
The categories of this paper are: nlin