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A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors

   
@article{ECP1261,
	author = {Nicolas Saintier},
	title = {A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {12},
	year = {2007},
	keywords = {Stochastic control; jump diffusion; viscosity solutions; mathematical finance; large investor},
	abstract = {Let $Z(t,z)$ be a $\mathbb{R}^d$-valued controlled jump diffusion starting from the point $z$ at time $t$. The aim of this paper is to characterize the set $V(t)$ of initial conditions $z$ such that $Z(t,z)$ can be driven into a given target at a given time. We do this by proving that the characteristic function of the complement $V(t)$ satisfies some partial differential equation in the viscosity sense. As an application, we study the problem of hedging in a financial market with a large investor.},
	pages = {no. 12, 106-119},
	issn = {1083-589X},
	doi = {10.1214/ECP.v12-1261},    
        url = {http://ecp.ejpecp.org/article/view/1261}}