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.
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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