Hedging costs for two large investors

DOI10.1080/17442508.2010.490299zbMath1229.91287MaRDI QIDQ3017913

Takashi Adachi

Publication date: 20 July 2011

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.490299

zbMATH Keywords

dynamic programming; viscosity solution; stochastic control; large investor; hedging cost; Markov market model

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

93E20: Optimal stochastic control

91G20: Derivative securities (option pricing, hedging, etc.)

49J20: Existence theories for optimal control problems involving partial differential equations

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

91G10: Portfolio theory

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