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
Biblioteca Digital (UBA-FCEN)
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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network_name_str Biblioteca Digital (UBA-FCEN)
spelling 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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