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
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- Institución
- Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
- OAI Identificador
- paperaa:paper_1083589X_v12_n_p106_Saintier
Ver los metadatos del registro completo
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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/ar2025-10-16T09:30:10Zpaperaa: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:18962025-10-16 09:30:12.144Biblioteca 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 |
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Biblioteca Digital (UBA-FCEN) |
| collection |
Biblioteca Digital (UBA-FCEN) |
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Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales |
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UBA-FCEN |
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UBA-FCEN |
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Biblioteca Digital (UBA-FCEN) - Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales |
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ana@bl.fcen.uba.ar |
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1846142847314558976 |
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12.712165 |