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


 
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1. Title Title of document A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
 
2. Creator Author's name, affiliation, country Nicolas Saintier; University of Buenos Aires
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Stochastic control; jump diffusion; viscosity solutions; mathematical finance; large investor
 
3. Subject Subject classification 49J20; 49L20; 60J60; 60J75; 35K55
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) FONCYT
 
7. Date (YYYY-MM-DD) 2007-04-24
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1261
 
10. Identifier Digital Object Identifier 10.1214/ECP.v12-1261
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 12
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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