A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors
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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2007
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Acceso en línea: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_1083589X_v12_n_p106_Saintier http://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_Saintier |
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paper:paper_1083589X_v12_n_p106_Saintier2023-06-08T16:05:54Z A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions 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. 2007 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_1083589X_v12_n_p106_Saintier http://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_Saintier |
institution |
Universidad de Buenos Aires |
institution_str |
I-28 |
repository_str |
R-134 |
collection |
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) |
topic |
Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions |
spellingShingle |
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 |
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. |
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 |
https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_1083589X_v12_n_p106_Saintier http://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_Saintier |
_version_ |
1768541949847928832 |