A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors

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Let Zv t, z be a ℝd-valued jump diffusion controlled by v with initial condition Zv t, z(t) = z. The aim of this paper is to characterize the set V (t) of initial conditions z such that Zv t, z can be driven into a given target at a given time by proving that the function u(, z) = 1 − 1V(t) satisfie...

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Autor principal:	Saintier, N.
Formato:	Artículo publishedVersion
Publicado:	2007
Materias:	Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions
Acceso en línea:	http://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_Saintier http://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=artiaex&d=paper_1083589X_v12_n_p106_Saintier_oai
Aporte de:	Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires

id	I28-R145-paper_1083589X_v12_n_p106_Saintier_oai
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spelling	I28-R145-paper_1083589X_v12_n_p106_Saintier_oai2020-10-19 Saintier, N. 2007 Let Zv t, z be a ℝd-valued jump diffusion controlled by v with initial condition Zv t, z(t) = z. The aim of this paper is to characterize the set V (t) of initial conditions z such that Zv t, z can be driven into a given target at a given time by proving that the function u(, z) = 1 − 1V(t) satisfies, in the viscosity sense, the equation (2) below. As an application, we study the problem of hedging in a financial market with a large investor. © 2007 Applied Probability Trust. application/pdf http://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_Saintier info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar Electron. Commun. Prob. 2007;12:106-119 Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors info:eu-repo/semantics/article info:ar-repo/semantics/artículo info:eu-repo/semantics/publishedVersion http://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=artiaex&d=paper_1083589X_v12_n_p106_Saintier_oai
institution	Universidad de Buenos Aires
institution_str	I-28
repository_str	R-145
collection	Repositorio Digital de la Universidad de Buenos Aires (UBA)
topic	Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions
spellingShingle	Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions Saintier, N. A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors
topic_facet	Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions
description	Let Zv t, z be a ℝd-valued jump diffusion controlled by v with initial condition Zv t, z(t) = z. The aim of this paper is to characterize the set V (t) of initial conditions z such that Zv t, z can be driven into a given target at a given time by proving that the function u(, z) = 1 − 1V(t) satisfies, in the viscosity sense, the equation (2) below. As an application, we study the problem of hedging in a financial market with a large investor. © 2007 Applied Probability Trust.
format	Artículo Artículo publishedVersion
author	Saintier, N.
author_facet	Saintier, N.
author_sort	Saintier, N.
title	A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors
title_short	A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors
title_full	A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors
title_fullStr	A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors
title_full_unstemmed	A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors
title_sort	general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors
publishDate	2007
url	http://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_Saintier http://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=artiaex&d=paper_1083589X_v12_n_p106_Saintier_oai
work_keys_str_mv	AT saintiern ageneralstochastictargetproblemwithjumpdiffusionandanapplicationtoahedgingproblemforlargeinvestors AT saintiern generalstochastictargetproblemwithjumpdiffusionandanapplicationtoahedgingproblemforlargeinvestors
_version_	1766026751744409600

A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors

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