Artículo
Saintier, N. "A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors" (2007) Electronic Communications in Probability. 12:106-119
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Abstract:
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.
Registro:
| Documento: | Artículo |
| Título: | A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors |
| Autor: | Saintier, N. |
| Filiación: | Departamento de Matemática, FCEyN UBA (1428), Buenos Aires, Argentina |
| Palabras clave: | Jump diffusion; Large investor; Mathematical finance; Stochastic control; Viscosity solutions |
| Año: | 2007 |
| Volumen: | 12 |
| Página de inicio: | 106 |
| Página de fin: | 119 |
| DOI: | http://dx.doi.org/10.1214/ECP.v12-1261 |
| Título revista: | Electronic Communications in Probability |
| Título revista abreviado: | Electron. Commun. Prob. |
| ISSN: | 1083589X |
| PDF: | https://bibliotecadigital.exactas.uba.ar/download/paper/paper_1083589X_v12_n_p106_Saintier.pdf |
| Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_1083589X_v12_n_p106_Saintier |
Referencias:
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- Soner, H.M., Touzi, N., Dynamic programming for stochastic target problems and geometric flows (2002) JEMS, 4, pp. 201-236
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Citas:
---------- APA ----------
(2007) . A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors. Electronic Communications in Probability, 12, 106-119.http://dx.doi.org/10.1214/ECP.v12-1261
---------- CHICAGO ----------
Saintier, N. "A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors" . Electronic Communications in Probability 12 (2007) : 106-119.http://dx.doi.org/10.1214/ECP.v12-1261
---------- MLA ----------
Saintier, N. "A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors" . Electronic Communications in Probability, vol. 12, 2007, pp. 106-119.http://dx.doi.org/10.1214/ECP.v12-1261
---------- VANCOUVER ----------
Saintier, N. A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors. Electron. Commun. Prob. 2007;12:106-119.http://dx.doi.org/10.1214/ECP.v12-1261
