Dual formulation of second order target problems

DOI10.1214/12-AAP844zbMath1293.60063arXiv1003.6050OpenAlexW2125555288WikidataQ57635877 ScholiaQ57635877MaRDI QIDQ1948690

Halil Mete Soner, Nizar Touzi, Jianfeng Zhang

Publication date: 24 April 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.6050

zbMATH Keywords

dualitybackward stochastic differential equationstochastic target problemmutually singular measuresaggregation of random variables

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Controlled Diffusion Mean Field Games with Common Noise and McKean--Vlasov Second Order Backward SDEs, Optimal stopping with random maturity under nonlinear expectations, Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation, Option pricing with linear market impact and nonlinear Black-Scholes equations, Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I., Governmental incentives for Green bonds investment, Duality and convergence for binomial markets with friction, Random \(G\)-expectations, Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs, Second order reflected backward stochastic differential equations, Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity, Probabilistic interpretation for solutions of fully nonlinear stochastic pdes, Optimal stopping under nonlinear expectation, Measurability of semimartingale characteristics with respect to the probability law, Minimal supersolutions of convex BSDEs under constraints, Entropic Optimal Planning for Path-Dependent Mean Field Games, \(k\)-sample upper expectation linear regression-modeling, identifiability, estimation and prediction, G-Gaussian processes under sublinear expectations and \(q \)-Brownian motion in quantum mechanics, Second order backward SDE with random terminal time, Constrained optimal transport, Backward nonlinear expectation equations, Wellposedness of second order backward SDEs, On viscosity solutions of path dependent PDEs, Ambiguous volatility, possibility and utility in continuous time, A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options, Constructing sublinear expectations on path space, Second order backward stochastic differential equations with quadratic growth, Martingale optimal transport and robust hedging in continuous time, Efficient hedging under ambiguity in continuous time, Optimal arbitrage under model uncertainty, Stochastic target games with controlled loss, Martingale optimal transport in the Skorokhod space, Stochastic control for a class of nonlinear kernels and applications, Unnamed Item, Duality for pathwise superhedging in continuous time, Superreplication under model uncertainty in discrete time, Martingale representation theorem for the \(G\)-expectation, Stochastic integration and differential equations for typical paths, A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations, UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME, Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions, Second-Order Stochastic Target Problems with Generalized Market Impact, A new existence result for second-order BSDEs with quadratic growth and their applications, Good deal hedging and valuation under combined uncertainty about drift and volatility, Financial asset price bubbles under model uncertainty, A complete representation theorem for G-martingales, Robust superhedging with jumps and diffusion, Multiperiod martingale transport, Optimal stopping under adverse nonlinear expectation and related games, Nonlinear Lévy processes and their characteristics, Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management, Contract Theory in a VUCA World, Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions, Reduced-form framework under model uncertainty, Uncertain Volatility Models with Stochastic Bounds, Arbitrage and duality in nondominated discrete-time models, Minimal supersolutions of BSDEs under volatility uncertainty, Dynamic equilibrium limit order book model and optimal execution problem

Cites Work

• Unnamed Item
• Unnamed Item
• Quasi-sure stochastic analysis through aggregation
• Wellposedness of second order backward SDEs
• Martingale representation theorem for the \(G\)-expectation
• Adapted solution of a backward stochastic differential equation
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Option hedging for small investors under liquidity costs
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Stochastic optimal control. The discrete time case
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• On pathwise stochastic integration
• A general downcrossing inequality for \(g\)-martingales
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• The multi-dimensional super-replication problem under gamma constraints
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING
• The Dynamic Programming Equation for Second Order Stochastic Target Problems
• Backward Stochastic Differential Equations in Finance
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Superreplication Under Gamma Constraints
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market