Translator Disclaimer
2007 A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
Nicolas Saintier
Author Affiliations +
Electron. Commun. Probab. 12: 106-119 (2007). DOI: 10.1214/ECP.v12-1261

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.

Citation

Download Citation

Nicolas Saintier. "A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors." Electron. Commun. Probab. 12 106 - 119, 2007. https://doi.org/10.1214/ECP.v12-1261

Information

Accepted: 24 April 2007; Published: 2007
First available in Project Euclid: 6 June 2016

zbMATH: 1191.60090
MathSciNet: MR2300220
Digital Object Identifier: 10.1214/ECP.v12-1261

Subjects:
Primary: 49J20
Secondary: 35K55, 49L20, 60J60, 60J75

JOURNAL ARTICLE
14 PAGES


SHARE
Back to Top