Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus

DOI10.3934/NACO.2023007zbMath1515.60224OpenAlexW4328023039MaRDI QIDQ6164098

Mingyu Xu

Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2023007

zbMATH Keywords

variational inequalityMalliavin calculusbackward stochastic differential equation with constraintnon-trivial optionsproportion constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

• Unnamed Item
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• Superhedging under ratio constraint
• Constrained BSDEs, viscosity solutions of variational inequalities and their applications
• User’s guide to viscosity solutions of second order partial differential equations
• Backward Stochastic Differential Equations in Finance
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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