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...

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Fecha de publicación:: 2014

Institución:: Universidad del Rosario

Repositorio:: Repositorio EdocUR - U. Rosario

Idioma:: eng

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spelling	Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investorsEconomíaStochastic target problemdynamic programming principleviscosity solutionHamilton Jacobi-Bellman equationsuper-replicationlarge investorportfolio constraintsEconomíaAnálisis estocásticoProgramación estocásticaTeoría económicaThe 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 ontingent laims in the presen e of portfolio onstraints and large investorsUniversidad del RosarioFacultad de Economía20142015-10-13T19:50:09Zinfo:eu-repo/semantics/workingPaperhttp://purl.org/coar/resource_type/c_804236 páginasRecurso electrónicoapplication/pdfDocumentohttps://doi.org/10.48713/10336_11006 Universidad del Rosariohttp://repository.urosario.edu.co/handle/10336/11006instname:Universidad del Rosarioinstname:Universidad del Rosarioreponame:Repositorio Institucional EdocURenghttps://ideas.repec.org/p/col/000092/012233.htmlhttp://purl.org/coar/access_right/c_abf2Serrano Perdomo, Rafael Antoniooai:repository.urosario.edu.co:10336/110062019-09-19T07:37:01Z
dc.title.none.fl_str_mv	Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title	Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
spellingShingle	Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors 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
title_short	Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title_full	Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title_fullStr	Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title_full_unstemmed	Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title_sort	Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
dc.subject.none.fl_str_mv	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
topic	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
description	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 ontingent laims in the presen e of portfolio onstraints and large investors
publishDate	2014
dc.date.none.fl_str_mv	2014 2015-10-13T19:50:09Z
dc.type.none.fl_str_mv	info:eu-repo/semantics/workingPaper
dc.type.coar.fl_str_mv	http://purl.org/coar/resource_type/c_8042
dc.identifier.none.fl_str_mv	https://doi.org/10.48713/10336_11006 Universidad del Rosario http://repository.urosario.edu.co/handle/10336/11006
url	https://doi.org/10.48713/10336_11006 http://repository.urosario.edu.co/handle/10336/11006
identifier_str_mv	Universidad del Rosario
dc.language.none.fl_str_mv	eng
language	eng
dc.relation.none.fl_str_mv	https://ideas.repec.org/p/col/000092/012233.html
dc.rights.coar.fl_str_mv	http://purl.org/coar/access_right/c_abf2
rights_invalid_str_mv	http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv	36 páginas Recurso electrónico application/pdf Documento
dc.publisher.none.fl_str_mv	Universidad del Rosario Facultad de Economía
publisher.none.fl_str_mv	Universidad del Rosario Facultad de Economía
dc.source.none.fl_str_mv	instname:Universidad del Rosario instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
instname_str	Universidad del Rosario
institution	Universidad del Rosario
reponame_str	Repositorio Institucional EdocUR
collection	Repositorio Institucional EdocUR
repository.name.fl_str_mv
repository.mail.fl_str_mv
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Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors

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