Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
The purpose of this expository arti le is to present a self- ontained overview of some results on the hara terization of the optimal value fun tion of a sto hasti target problem as (dis ontinuous) vis osity solution of a ertain dynami programming PDE and its appli ation to the problem of hedging ont...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2014
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/11006
- Acceso en línea:
- https://doi.org/10.48713/10336_11006
http://repository.urosario.edu.co/handle/10336/11006
- Palabra clave:
- Economía
Stochastic target problem
dynamic programming principle
viscosity solution
Hamilton Jacobi-Bellman equation
super-replication
large investor
portfolio constraints
Economía
Análisis estocástico
Programación estocástica
Teoría económica
- Rights
- License
- http://purl.org/coar/access_right/c_abf2