Outperforming the market portfolio with a given probability
Publication:453241
DOI10.1214/11-AAP799zbMath1259.60072arXiv1006.3224OpenAlexW3099268354MaRDI QIDQ453241
Erhan Bayraktar, Yu-Jui Huang, Qingshuo Song
Publication date: 19 September 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1006.3224
viscosity solutionsquantile hedgingnonuniqueness of solutions of nonlinear PDEsoptimal arbitragestrict local martingale deflators
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)
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