Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
| Data(s) |
2014
|
|---|---|
| Resumo |
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 |
| Formato |
application/pdf |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Facultad de Economía |
| Relação |
Serie documentos de trabajo. No 170 (Octubre 2014) https://ideas.repec.org/p/col/000092/012233.html |
| Direitos |
info:eu-repo/semantics/openAccess |
| Fonte |
instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario |
| Palavras-Chave | #Economía #Análisis estocástico #Programación estocástica #Teoría económica #330.1 #Stochastic target problem #dynamic programming principle #viscosity solution #Hamilton Jacobi-Bellman equation #super-replication #large investor #portfolio constraints |
| Tipo |
info:eu-repo/semantics/book info:eu-repo/semantics/acceptedVersion |
