Small time path behavior of double stochastic integrals and applications to stochastic control (Q2496497): Difference between revisions
From MaRDI portal
Changed an Item |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: Hedging and Portfolio Optimization in Financial Markets with a Large Trader / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The multi-dimensional super-replication problem under gamma constraints / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the possibility of hedging options in the presence of transaction costs / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4226355 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Superreplication Under Gamma Constraints / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Dynamic programming for stochastic target problems and geometric flows / rank | |||
Normal rank |
Latest revision as of 17:58, 24 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Small time path behavior of double stochastic integrals and applications to stochastic control |
scientific article |
Statements
Small time path behavior of double stochastic integrals and applications to stochastic control (English)
0 references
10 July 2006
0 references
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.
0 references
law of the iterated logarithm
0 references
stochastic control
0 references
hedging under gamma constraints
0 references