Small time path behavior of double stochastic integrals and applications to stochastic control (Q2496497): Difference between revisions
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English | Small time path behavior of double stochastic integrals and applications to stochastic control |
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Small time path behavior of double stochastic integrals and applications to stochastic control (English)
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10 July 2006
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The authors study the small time behavior of double stochastic integrals with respect to multidimensional Brownian motion. The law of iterated logarithm is proved under general assumptions. Then additional results are established under continuity assumptions on the integrand. It is shown how these results on the small time path behavior of double integrals can be applied to a stochastic problem, which arises when one intends to find the super-replication price of a contingent claim in the presence of gamma constraints in a more general situation than in previous works.
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law of the iterated logarithm
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stochastic control
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hedging under gamma constraints
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