A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors
- Autores
- Saintier, N.
- Año de publicación
- 2007
- Idioma
- inglés
- Tipo de recurso
- artículo
- Estado
- versión publicada
- Descripción
- 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.
- Fuente
- Electron. Commun. Prob. 2007;12:106-119
- Materia
-
Jump diffusion
Large investor
Mathematical finance
Stochastic control
Viscosity solutions - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- http://creativecommons.org/licenses/by/2.5/ar
- Repositorio
- Institución
- Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
- OAI Identificador
- paperaa:paper_1083589X_v12_n_p106_Saintier
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A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investorsSaintier, N.Jump diffusionLarge investorMathematical financeStochastic controlViscosity solutionsLet 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.2007info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfhttp://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_SaintierElectron. Commun. Prob. 2007;12:106-119reponame:Biblioteca Digital (UBA-FCEN)instname:Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturalesinstacron:UBA-FCENenginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/2.5/ar2025-09-29T13:43:00Zpaperaa:paper_1083589X_v12_n_p106_SaintierInstitucionalhttps://digital.bl.fcen.uba.ar/Universidad públicaNo correspondehttps://digital.bl.fcen.uba.ar/cgi-bin/oaiserver.cgiana@bl.fcen.uba.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:18962025-09-29 13:43:01.961Biblioteca Digital (UBA-FCEN) - Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturalesfalse |
dc.title.none.fl_str_mv |
A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors |
title |
A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors |
spellingShingle |
A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors Saintier, N. Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions |
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 |
A general stochastic target problemwith jump diffusion and an application to a hedging problem for large investors |
dc.creator.none.fl_str_mv |
Saintier, N. |
author |
Saintier, N. |
author_facet |
Saintier, N. |
author_role |
author |
dc.subject.none.fl_str_mv |
Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions |
topic |
Jump diffusion Large investor Mathematical finance Stochastic control Viscosity solutions |
dc.description.none.fl_txt_mv |
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. |
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. |
publishDate |
2007 |
dc.date.none.fl_str_mv |
2007 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_6501 info:ar-repo/semantics/articulo |
format |
article |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
http://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_Saintier |
url |
http://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_Saintier |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar |
eu_rights_str_mv |
openAccess |
rights_invalid_str_mv |
http://creativecommons.org/licenses/by/2.5/ar |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
Electron. Commun. Prob. 2007;12:106-119 reponame:Biblioteca Digital (UBA-FCEN) instname:Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales instacron:UBA-FCEN |
reponame_str |
Biblioteca Digital (UBA-FCEN) |
collection |
Biblioteca Digital (UBA-FCEN) |
instname_str |
Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales |
instacron_str |
UBA-FCEN |
institution |
UBA-FCEN |
repository.name.fl_str_mv |
Biblioteca Digital (UBA-FCEN) - Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales |
repository.mail.fl_str_mv |
ana@bl.fcen.uba.ar |
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1844618737673568256 |
score |
13.070432 |