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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Guardado en:
Detalles Bibliográficos
Publicado: 2007
Materias:
Jump diffusion
Large investor
Mathematical finance
Stochastic control
Viscosity solutions
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
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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