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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Detalles Bibliográficos
Autor principal: Saintier, N.
Formato: Artículo publishedVersion
Lenguaje:Inglés
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
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
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spelling paperaa:paper_1083589X_v12_n_p106_Saintier2023-06-12T16:49:37Z A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors Electron. Commun. Prob. 2007;12:106-119 Saintier, N. 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 info:eu-repo/semantics/article info:ar-repo/semantics/artículo info:eu-repo/semantics/publishedVersion application/pdf eng info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar 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)
language Inglés
orig_language_str_mv eng
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
work_keys_str_mv AT saintiern ageneralstochastictargetproblemwithjumpdiffusionandanapplicationtoahedgingproblemforlargeinvestors
AT saintiern generalstochastictargetproblemwithjumpdiffusionandanapplicationtoahedgingproblemforlargeinvestors
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