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: JOUR
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
id todo:paper_1083589X_v12_n_p106_Saintier
record_format dspace
spelling todo:paper_1083589X_v12_n_p106_Saintier2023-10-03T16:04:03Z 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 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. JOUR 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)
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 JOUR
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
url http://hdl.handle.net/20.500.12110/paper_1083589X_v12_n_p106_Saintier
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AT saintiern generalstochastictargetproblemwithjumpdiffusionandanapplicationtoahedgingproblemforlargeinvestors
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